Some of the Internet facing Sharepoint websites welcomes the users with the following message:
The Web site wants to run the following add-on: 'Name ActiveX Control' from 'Microsoft Corporation'. If you trust the Web site and the add-on and want to allow it to run, click here
To avoid the above message, the master page and Init.js files of your site need to be modified and more details can be found @ http://support.microsoft.com/kb/931509.
This link discuss on client side and server side solutions but I belive it is more pratical to fix the problem in the serverside.