ActiveX controls are a way hackers can enter your computer, and that's why Windows XP SP2 automatically blocks their installation pending your approval. However, it is safe to install ActiveX controls from respectable companies, such as Microsoft. As long as you're sure the request is from Microsoft (you intentionally went to their site and attempted to perform an update), there's no risk in allowing the installation.
Hope this helps,
John
to install the activeX control required to update MS Office 2003?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic