The world needs this: The indefatigable Ed Bott explains how to Protect yourself from unwanted ActiveX controls. (Although, in fact, cautious folk like me have already done the equivalent by manipulating our settings manually.)
Meanwhile, the really paranoid, will be worrying about persistent cookies set by Macromedia Flash applications. And will be turning off the persistent 'Local Shared Objects' with a fix from Macromedia. There's even a neat Firefox extension called objection, which will allow you to control these in Firefox for Windows.