Activex is a program developed by Microsoft to work with Windows, including within web browsers.
Because it is a small program it can SOMETIMES be used to put viruses on your computer.
Yes you do need it for some web sites to run properly.
Search in google for "what is activeX" for loads of fuller explanations.
One site I found said:
Microsoft ActiveX is a bundle of technologies that allow different applications to exchange data and files over a network, the Internet in particular.
ActiveX is used by Web sites to provide interaction between a user and the web page being viewed. To run an ActiveX component, it has to be installed on your system (similar to a Java applet).
The danger is that ActiveX establishes an interaction between remote applications and your computer just like the application is running on your own computer.
That means ActiveX could be used in attacks on your computer. Therefore your browser should be configured to use ActiveX components only after you authorize it each time. That way you can run ActiveX components only from sites you know and trust.