2nd and 3rd paragraphs are just routine warnings. As ActiveX is part of Internet Explorer, it has become attackers' favourite way to attack users.
The 2nd paragraph says that after you changed the ActiveX settings, you will be prompted each time an ActiveX tries to install. If you trust that site, you can move it to the Trusted zone of Internet Explorer.
The 3rd paragraph talks about why ActiveX is dangerous. As said in my first paragraph to you, ActiveX is integrated into Internet Explorer and is one of the attackers' favourite way of attacking users. ActiveX can be used to run legitimate programs (such as Microsoft Updates) or malicious programs.
This can be very dangerous as it's akin to double clicking on an unknown program.
You don't have to do anything about the 2nd and 3rd paragraphs, just need to understand why they are dangerous.
Hope this clarifies your doubts.