How is the network configured? Is it an actaul server or is it just a workgroup and each computer has its own connection?
If each computer has its own connection, then you will have to log in as the administrator in each computer.
Go to "Control Panel". Then go to "Administrative Tools", then head to "Computer Management" and then lastly go to "Users".
You should see the user name, Right-Click it and go to properties. Go over to the "Member of" tab and you can either either add a new group being either "Administrators" or "Power Users". I believe both of these groups will alow active X downloading.
Just repeat that for each box in the network for every user.
If it still doesn't work, the check your security setting in Internet explorer by going to Tools> Internet Options
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If you are running a server, you will have to go to your Domain controller and go through all the user accounts and make sure they have appropriate security levels.