On Google Chrome and Firefox I had no problems with navigating to Outlook web apps. However, when using IE 9 I kept on getting the warning that the ActiveX setting was not enabled. There are quite a number of hints on the Internet about this problem. Apparently we are not the only one having this problem. The solutions on the Internet did not help us. In the end we had to use a mildly insecure solution. Under options in IE one can adjust the security of different zones. Go to Trusted Sites and see if the site supplying the ActiveX is in that list. If not: add it.
Change “Initialize and script ActiveX controls not marked as safe” from disabled to enabled. Yes it is strange, you would say IE should trust the ActiveX of Office365 or of any other MS Exchange Server.