Some times IE blocks the ActiveX component installation for the security reason. If the component is trusted, you may need to temporary change the security settings of IE, then change the settings back after the component get installed. See the following for details.
From the IE, select Tools->Internet Options->Security. At the Security level for this zone, select Custom level. Look for ActiveX controls and plug-ins section, enable Download unsigned ActiveX controls, and look for Miscellaneous section, enable Installation of desktop items.
After the component gets installed. reverse above settings.