Try this experiment: Click on the simple test created by greymagic.com. If a calculator pops up, you have a problem: your computer is configured to allow web sites to run programs on your machine … without using Active X, which is usually the culprit for such security holes.
If the calculator didn't pop up, you can congratulate yourself, you're probably running Unix, a Mac, using Firefox, or all at once. If you're just using Firefox on a windows machine, you might want to open up IE and try it again, just to be safe.
If you want to understand the problem a bit better there's a sort of explanation at DSO Exploit – Executing programs without Scripting or ActiveX.
If you are (justifiably) nervous about running a self-described exploit on your machine, and thus don't want to click the link above, you can download and run Spybot, which will tell you if you have the vulnerability (and check for many others as well).
How do you fix the problem? That's a little complicated as it may require you edit your registry settings (I'm unclear if Spybot actually fixes the problem or not). Instructions on doing this can be found at the link to DSO Exploit – Executing programs without Scripting or ActiveX.