Most often, it's because Firefox doesn't run ActiveX in its default form. You should be able to download a plug in so that the sound works correctly. When you visit the page, normally there is a "plug in" download display in the location where the ActiveX is required. Have you tried installing Sun's Java? Macromedia's Flash or Shockwave?
Give them a try.
Then again, some sites won't work well with Firefox because Firefox is designed to block certain types of code. Trying to "force" Firefox to run that type of code can make it less secure. It's a personal choice that you'll need to make.
I downloaded & tried to use both the beta version & 1.0 of the "Foxfire" browser. However, I could not get sound on some of the sites that I got audio on using IE (such as my own site). Is there some "switch" or something that I am not turning on or something I am not doing right? I would like to use "Firefox", but not if I cannot get audio on all sites that have it.