Meow.
Try Tools > Internet Options > Security > Zone: Internet
> Custom Level
In the settings, anything about ActiveX just change to Prompt. And
while the MSN game is loading, if there's any prompt for installing
ActiveX plug-ins, take a look to ensure it's not some weird stuff
then install it. After you're done, I think you can just reset the
settings to Default.
But, maybe mayi has a better idea.