Nope.. my IE has Active X set to prompt and I always click NO.. also I have download 3rd party content turned off...
as such, using my settings, IE is secure from spyware, except the ocassional tracking cookie (usually only 2 to 3 in a week)..
If you like, I can write up the way to set up IE to where it is secure.
Also, for best security, you should be using XP SP 2 IT install (266 MB), it takes IE to SP 2 as well, where the windows update XPSP 2 (80 MB) version is still using IE SP 1. Also many have been having problems with the Windows Update version of XPSP 2 (1 in 5 systems) where the full install of the 266 MB IT XPSP 2 only has problems with systems infected with Spyware.