We have the same problem. IE security settings set to lowest level, all enabled but ActiveX control (needed for that page - remote desktop access thorugh Win2003Server's Remote Workplace site) woul dnot run on one of the remote machines with the message above: "Current security setting prohibits running Active X control on this page". You mentioned some filter that was blocking ActiveX.
What filter? Where si it and how do we open it? (I guess once I find the filter I'd be able to find out how to disable it but some additional hint might help.)