IE8 is already quite secure (more secure than FF, at least
). However, since it's the most used browser, there are far more exploits for it.
ActiveX are downloaded only if you allow it, so you just need some common sense.
As Tech said, the main thing you can do is to keep it updated.
If you have avast! 5 Pro, you can sandbox it, too.
P.S.: Writing "Window$" does not make you smart