[Bloody Sam Roberts]

What if anything, should I do about the ActiveX settings in my OE program

Nothing. You don't want ActiveX running via emails sent to you from Heaven knows who.

Better yet, download and install Thunderbird email client. I made the switch and spam has dried up. Plus Thunderbird is MUCH more secure.
If you insist on using Outlook Express, then at least get a copy of Mailwasher. That's the best accessory for OE. It lets you look at email while it is still on Cox's server before you download it...so you can then delete the junk. Now that's security.

[toddlintown]

Try going to your browser (I'm using Explorer), click on "Tools," "Internet Options," "Security," "Custom Level," and then "Active X Controls and Plug-Ins. Disable the "Automatic Prompting," and disable "Initialize and Script Active X Controls Not Marked As Safe," and then cross your fingers.