Help! Can't turn MSIE Active X info bar off :-P

Hello :-)

I can't seem to get rid of that obnoxious info bar that comes up anytime
MSIE tries to download Active X related content and blocks said content. I
know the risk I'm taking and do not like having to "allow the blocked
content" every time I wanna view something with Active X related content.
I've tried the instructions from MSIE's help section several times to no
effect, even if I turn off StopZilla before doing what the instructions say
to do. What am I doing wrong?

To stop blocking file and software downloads with the Information Bar

This procedure will allow Web sites to automatically prompt you when
downloading files and software (bypassing the Information Bar).

Open Internet Explorer.
On the Tools menu, click Internet Options.
On the Security tab, click Custom Level.
Do one or both of the following:

To turn off the Information Bar for file downloads, in the Downloads section
of the list, under Automatic prompting for file downloads, click Enable.
To turn off the Information Bar for ActiveX controls, in the ActiveX
controls and plug-ins section of the list, under Automatic prompting for
ActiveX controls, click Enable.