It's part of a warning system to notify users that something else is trying to run. This mechanism is a response to the security issues presented by allowing users to run ActiveX controls without their knowledge, which allowed spyware and adware to infect people's systems. This is how it is supposed to work.
Once the warning pops up, you can add exceptions to allow particular domains to run ActiveX controls. One should only allow ActiveX controls if they trust the website though.