I had some problems on installing the ActiveX and here's my solution (Worked for me).
Normally this happens to people that have their computers in other languages (like me (Spanish)), So what you have to do is:
1) Go to C:\ or your local local drive.
2) Create a folder named: Program Files
3) Then go to www.playinfinity.net and install the ActiveX.
4) Enjoy Infinity.
This is because ActiveX only installs in Program Files. :P
Hope to have helped you.