usully you'll get a little drop down at the top of the page stating the sites trying to run active x, if you right click on the drop down it should give you an option as to whether to keep blocking it, allow it to run once or allow it to run everytime you visit.

but windows firewalls pretty usless anyway so most people just turn it off.

i can't recomend spysweeper anymore, since i started running it i've never had issues with virus' spyware etc, although you have to pay to use it, you can get it free if you know where to look

I'm not 100% sure but i don't think windows firewall works with firefox seing as its a windows explorer application. which would explains why you've never had the message.