Why do you want to do this with ActiveX?
Try the WinInet: http://www.mooregoodideas.com/goodLabViewStuff.htm
Simply use WinInet Easy Get Url, with a path to the file, and store the data as binary file. I used this a lot for the axact thing to are trying to do. Put the VI in a for loop, and try to automatically build a string that forms the paths to the files. Sometimes, I get the source HTML from a download page, and edit the HTML so I get a multiline string. This forms the input for the loop, and there you go. All your files nicelly on disk. Note that some of these sites will block after a few downloads, to prevent this sort of things.
Regards,
Wiebe.