If you need to run ActiveX controls outside of Internet Explorer, you have two options: try a control in Firefox, or download Google Chrome and see if it happens to run in there. Not all controls will work.
* Newer Firefox ActiveX plugin
* Old Firefox ActiveX plugin
If you're on a Linux box, you can try loading the controls, or three other methods: two of which involve installing IE
* Installing Steam in WINE using Transgaming's copy of the old control : not sure what to do with this really, except it helped me get Plants vs Zombies installed.
* Install IE6
* Install IE7