How To Enable ActiveX Controls on Windows Server 2008

I was trying to download some software from MSDN to my new Hyper-V playground box, and of course it requires that ActiveX Control that launches the MSDN Downloader.  Back in  Windows Server 2003 it was relatively easy to enable this by removing the enhanced IE security “Component” accessible from the Add/Remove Software control panel applet.  It took me awhile and a good bit of search engine time, but it’s sort of where one would expect it in 2008 – in the Server Manager:

12-5-2008 12-12-54 PM