Automatic Prompting for ActiveX Controls
The default setting is Disable. While it may seem counter-intuitive, this setting actually causes a type of prompt. Beginning In Internet Explorer for Windows XP SP2, Microsoft introduced the "Information Bar" which is a little yellow strip that appears just under the top frame of the content window.
This bar may appear during a file download or when a site is attempting to install an ActiveX control. When this bar is activated, the file or control will automatically be prevented from downloading and the bar will let you know that.
You can then choose an action by clicking on the bar. If you Enable this setting, you won't see the yellow bar when an ActiveX control needs to be installed. Instead you'll be prompted to either download the file or install the control. So enabling this setting actually saves a couple of steps when you want to download files or install ActiveX controls. Because of my usage patterns, typically I change this setting to Enabled. Since I'll be prompted, I still have the choice to refuse the file or the installation.