This is a classic example of "do what I say but don't follow what I do." ActiveX technology is not something that you will trust on the internet. You may use it in a trusted environment like on intranet but not the world wide web. When you download ISO files from MSDN you would need Microsoft File Transfer Manager which needs ActiveX to work. Windows Sever 2008 R2 and probably the older Windows Sever 2008, IE by default is configured to not allow execution of ActiveX control even if you enable in Internet Options. I can imagine that this is done to minimize the surface attack area of the machine.
To temporarily allow execution of ActiveX in IE, bring Server Manager and click on Configure IE ESC (Enhanced Security Manager).