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Also, I would recommend Hi-Jack This. Its a freeware program that shows you all the modifications that were made to your IE (toolbars, buttons, homepage changed, title bar changed, etc), like when a site hi-jacks your IE. You can easily remove the changes made, and if something goes wrong, undo the changes you made. Really great program! :)
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Spybot Search & Destroy also has ActiveX blocking stuff.
You should have Spybot anyway....
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Thanks all, the IE settings solution works best for me.
I posted a little guide here.
