(in the event that the above link is down, here is a local copy, with only the instructions (no auto-detection of settings)).
But if you really want to have the option of downloading and installing both the Flash player and the Shockwave player, you can go directly to the Macromedia download site here:
A control using ActiveX technologies. An ActiveX control can be automatically downloaded and executed by a Web browser. ActiveX is not a programming language, but rather a set of rules for how applications should share information. Programmers can develop ActiveX controls in a variety of languages, including C, C++, Visual Basic, and Java.
An ActiveX control is similar to a Java applet. Unlike Java applets, however, ActiveX controls have full access to the Windows operating system. This gives them much more power than Java applets, but with this power comes a certain risk that the applet may damage software or data on your machine. To control this risk, Microsoft developed a registration system so that browsers can identify and authenticate an ActiveX control before downloading it. Another difference between Java applets and ActiveX controls is that Java applets can be written to run on all platforms, whereas ActiveX controls are currently limited to Windows environments.
Sooo... problems arise if your ActiveX controls are disabled. Here's how you check: