You don't remove or add ActiveX into Internet Explorer - it's a part of it. It is a way for websites to interact with the users, but Microsoft happened to give ActiveX applications free range of your computer (for example, deleting your files). Microsoft has, luckily, provided us with a simple prompt making us approve or disapprove various ActiveX applications, such as if a website attempts to launch an application you do not approve of, you can simply deny it.
ActiveX alone is a good reason to switch to another browser (read: Firefox or Internet Explorer 7).
Firefox is available at
http://www.getfirefox.com
and Internet Explorer 7 Beta 2 is available at
http://www.install7.com
Either of the browsers should be a bit more secure.