Click default level ot click custom and enable ActiveX. I'm not so sure that this is your problem (what the message said) but do what the message says which is to allow activeX controls (I'm presuming here that this is a MS control) and we'll see what happens.
Active X controls that are marked safe are enabled by default, one's marked unsafe are not. The programmer decides if the control is unsafe or safe. A safe control only operates within IE, an unsafe control can change system settings, read files, do anything else a normal program can.
So if your settings are standard it implies it's an unsafe control? I would not advise dropping your security though. Try moving that page into a more trusted security zone. Select Trusted Sites (you trust MS?) and add expert zone to it (all on the security tab). This way only this page has lower security, not all other pages you come across.