This popped up when I was installing some software relating to Internet Explorer. These are Microsoft's own words! I wonder if Windows Media Player deploys in a browser window as an activex...
What you should know about active content
Active content (items like stock tickers, video, or animation) relies on either ActiveX controls or computer code called a script to work properly.
ActiveX controls can sometimes malfunction or display content that you don’t want. They can also be used to collect information from your computer without your permission, damage data on your computer, install software without your consent, or allow someone else to control your computer remotely. Given these risks, you should only install these programs if you completely trust the publisher. ...
Appart from being wrong (activex is not the only way to view video in a browser) I am quite certain the Java is - by comparison - mostly harmless when it comes to running applets in a browser window.