When asp.net introduced the concept of viewstate, it changed the way how developers maintain the state for the controls in a web page. Until then to keep the track of the control(in classic asp), it was the developer responsibility to manually assign the posted content before rendering the control again. Viewstate made allowed the developer to do it with ease. The developers are not bothered about how controls keep there state on post back.
The activeX warning is appearing because Sharepoint is trying to load a control that is used to display presence information in the Sharepoint site. There are two ways of dealing with this, one that is server based and another that is specific to a master page. Use Server Based Solution if you need the solution to apply for all the sites in the server. Apply the Master Page Solution if you want to apply for a particular site/master page.