Weird!! ActiveX error when mousing over wav files!!

I get the error "Your current settings prohibit running activex controls on this page. As a result the page may not display correctly." when I mouse over (I use single click to open, so mousing over selects item and causes error) any .wav file (which are associated with Windows Media Player 9.0).

I don't get this error when I visit web pages, although it does also pop up when I insert copied text into an email in Outlook Express, though that doesn't bother me as much. It also pops up when I open the Printer settings page under Start/Settings/Printers.

I have checked to make sure all security settings are set to allow activex and scripts (against my better judgment), tried setting to security to low, my Java IS enabled, etc., but can't get this to stop.

Also, I run a very clean pc: Win2K with CA ezArmor antivirus and firewall (behind NAT router), up to date ADaware, SpyBot, etc.

Everything works fine, just this annoying error popping up every time I try to play a wav (which will play after I close the error window). It never used to do this, but I can't figure out what I changed or added that might be causing this.

I tried stopping the AV and FW, but that didn't fix it either.

Please help.
Scott