Query on Windows XP

I am using Windows XP.  Whenever I try to open the website  having Active X controls the image does not appear automatically. Instead a small bar appears at the top(below the menus) which says Active X is disables. I am able to right click on that bar and select the option run Active X controls. But I do not want to do this every time .I want to enable running of Active X automatically without my intervention. How Can I do this.?

Thanks,

Anil.