After installation of Service Pack 2 on Windows XP, security is tightened up quite a lot. Things like ActiveX controls no longer install immediately, and if you visit the Microsoft Windows Update page, or the Microsoft Office Update page, you may be prompted to install and ActiveX control.
The first sign that you need to install an ActiveX control is that you will get a popup window stating this. However, this popup has a checkbox that will stop it from appearing again. I'd suggest leaving this off, as it is a good warning that a website is trying to do something potentially dangerous.
The second sign is that a small information bar will display within the Internet Explorer web browser itself, just below the Toolbars at the top.
To enable the ActiveX control, click on this information bar and choose install. Only do this if you trust the website!