i wouldn't download active-x unless it's from a trusted site. I did once and one hell of a time trying to get rid of the adware/spyware that was installed on my pc because of it.
Are these wmv files? See
What you should know about WMA & WMV Files http://en.wikipedia.org/wiki/ActiveX#Internet_Security
For video avi, and mpg/mpeg are the best.