This policy setting allows you to manage whether users may download unsigned ActiveX controls from the zone. Such code is potentially harmful especially when coming from an untrusted zone.If you enable this policy setting users can run unsigned controls without user intervention. If you select Prompt in the drop-down box users are queried to choose whether to allow the unsigned control to run.If you disable this policy setting users cannot run unsigned controls.If you do not configure this policy setting users cannot run unsigned controls.
Windows Components\Internet Explorer\Internet Control Panel\Security Page\Internet Zone
At least Internet Explorer 6.0 in Windows XP with Service Pack 2 or Windows Server 2003 with Service Pack 1