What version of IE are you using, it didnt seem to work for me in IE6.
When i upgraded to version 7 [Beta 2] it now seems to work flawlessly
Oh and since i never use IE i just changed the settings as posted here.
"ActiveX warnings: In Internet Options, Local Intranet zone, enable "Initialise and script ActiveX controls not marked as safe". "
But internet instead of intranet.