ActiveX is a grand idea, but Microsoft's execution of it has been plagued since it started with security issues. While that is not terribly surprising, what IS surpising is that Microsoft has not been able to tighten things up, at least enough to stop this seemingly endless parade of alerts. I guess it is as flawed a technology as it's critics suggest.
US Cert is telling users to disable ActiveX, at least for now. You can do that, but it will keep you from getting automatic updates to Microsoft operating systems or other products, such as Office. You also have to enable ActiveX to use Windows Update or Microsoft Update, but once you are done updating, disabling ActiveX is recommended. See this article at Computer World's site.