ActiveX – Cannot display Page

when I go to some sites a message appears: “Your current security settings prohibit running ActiveX control on this page. As a result, the page may not display.”

click ok
then another message appears: Cannot display this page.

I’m at IE5.0.When I try to upgrade to 6.0 it gives me the same above messages.

My security level is at Medium. I stop my anitvirus. I also followed article Q243787 from the Micorsoft site. Nothing seems to work to clear this problem. Does anyone know how I may alleviate this problem.