internet, security, and downloading

wasn't sure exactly where to post this but i'm hoping someone can help! just bought a new inspiron 1525 yesterday and also my first time using vista. basically the only problem i'm having right now is that my security settings don't allow me to download ANYTHING. i've searched and searched can't find no answers! its getting very frustrating. i've tried all the instant messangers, itunes, adobe 10. when i tried to download adobe 10 i came across a problem i had never heard of, something about activex controls not letting me download adobe 10. which is a huge problem since all the websites i've been on with music so far require me to update adobe.

if anyone could take the time to help me out with some detail instruction that would be very very much appreciated! thank you so much for your time!