Verify that that the internet security setting Allow active content to run files on my computer is selected:

• Open Internet Explorer
• Select the Internet Options option in the Tools menu
• Display the Advanced Tab
• Locate the Security group
• Ensure the Allow active content to run files on my computer option is selected.
  
  

Depending on the version of Internet Explorer you have, this option may not be present. If it is not present, just ignore this step.