active X controls are little modules that can be used by the operating system. They are like add-ons, for instance when a programmer wants to make a pretty toolbar, they would download an active X control that has that toolbar built in, and allows the user to further customize that toolbar.
However, the recent common usage of active X controls takes advantage of its ability to be transmitted over the internet. Sometimes you go to some website, and it asks you for permission to install an active X control.. you have to be careful because you are basically downloading and executing program from internet, which can very well be a trojan horse or a virus