Double click on it and see what the error message is.

If you get the above, this can be casued by two problems that I know of. The first problem is that MSComm32.ocx has not been registered and the second is that the security settings on the browser are not allowing the activeX to be created.

Problem 1.

To solve this you need to have mscomm32.ocx on your system, it is put there by installing Office and VB, possible others. To register this use the start button and run and place this in the box:

This assumes that your Windows installation is on drive C, after pressing okay, a dialog should appear that the process has succeeded.

Problem 2.

This is the browser security that is preventing running of the script. To change the security settings, use the tools, menu and Internet options. Under the security tab look at the scripting options:

There are several of these and depending on which version of IE will differ. Look for the ones that are disabled and have a prompt option.  The only change that was needed to IE 7 was to change the option for 'Initialize and script activeX controls not marked as safe for scripting' from disabled to prompt. This is shown in the above screen shot.

Warning

The controls are designed to help keep your computer safe so take care when changing these values and don't simply use the enable option, if there is a prompt at least you have a chance of stopping any malicious software.