Activex Nightmare!

Hi...

I am having trouble with "activeX controls". I go onto the internet and basically anytime I want to download or play games etc... it tells me this:

"Your security settings prohibit running activeX controls on this page. As a result, the page may not display properly"

I have gone into Internet Options and checked the security levels in there, changed them to low and still doesn't let me into things.

I also have zone alarm on my computer but have turned that off and still can't get it to work.

Any suggestions??????

Thanks!

Smuk