Normally if you are using IE it will show a little yellow bar at the top of your window when you press game start asking you if it can install the active-X. If it asks you to install simply allow it to since you need it X3
If for some strange reason the bar won't drop down then you could try going to Tools -> Internet Options -> Advanced Tab -> Reset Internet Explorer Settings. Then try to press game start again and see if you get the prompt for the active-X control now.
Lol Windowed mode settings are BACKWARDS (Window On is fullscreen Window off is windowed mode)
They're not backwards :3 There are two locations where you can change your window settings and if you have them both turned 'ON' it will not go into Window Mode. Hence it seems like when you put one to 'OFF' it does listen to you and goes into Window Mode. ;3