Unable to download/install Active X control in IE 6.0

I am trying to run Windows Updates, Trend Micro house call and open other websites however I get the yellow banner on top “to help protect your security internet explorer has blocked this site from downloading”. I right click and choose install however nothing happens.. Could it be an adware/spyware issue, firewall blocking or a virus.. I adjust my IE security settings to Medium and allowed active x controls to run. please help