SP2 and Active-X

My PC with SP2 refuses to allow the HP site to download and install an
active-ex script to check and see if I need updated software. HOW THE
$&*&^%$ bloody hell do I shut that damn thing off? I need this done. Do I
have to uninstall SP2 yet again to allow the HP site to install the script?
Clicking on the bar to allow it didn't work.

How do I get rid of these Sp2 pain in the ass security problems?

My PC is a HP w/W-XP Home/SP2 .

I'm the Owner Administrator of the PC and the only user.

TIA

FS~