Mozilla does not support ActiveX controls natively. A plug-in for ActiveX controls (which also works with Netscape 4.x) is in development, with limitations: it will not download or install controls itself, and it will only host controls that are already installed and marked safe for scripting, so it is not as insecure as ActiveX normally is. The current plug-in does not yet allow controls to be scripted.
You can read about the plug-in at the Mozilla ActiveX Project.
Note that ActiveX can pose a security risk to your computer.