If you want one that can block ActiveX, I recall that the Linksys BEFSX's do that for a semi-reasonable price.
Bigger picture: if you don't want ActiveX doing anything harmful, consider using a Limited account (called a Restricted User account on Win2000 or in a domain). A restricted/limited account won't get ActiveX popups like the annoying Would You Like To Install Our Wondarful SPYWARE?!?! ones. There are some drawbacks to a Limited/RU account but they're a strong supplement to your security measures.
more info on Limited accounts
You could also use a browser that doesn't have any ActiveX capabilities to start with, if it's a serious problem but you don't want to use a Limited/RU account. Where's all the alternate-browser fanboys when you need them?
