It depends on what version of Internet Explorer you're using, but it should be under Security Settings. In Internet Explorer, go to Tools | Options | Internet Options. Then select the Security tab and click on "Custom Level" to view the settings you have. Make sure "Download signed ActiveX controls" is set to "Prompt" ("Enable" will work, too, but it's better to leave it at "Prompt").
In order to run the MyHouse ActiveX, you will need to be logged in as an Administrator or Power User -- you need to be able to install software.
