In IE5+(Mac) select "Edit" from the menu bar and choose "Preferences". Then select "Web Content" and click on the "Enable Scripting" checkbox so that an "x" appears.
In IE5.5+ (PC), choose "Tools" from the menu bar and select "Internet Options" from the pop-up window. Choose the "Security" tab and click the "Custom Level" button at the bottm of the window. Under "Scripting" check the radio button next to "Enable", under the "Active Scripting" header. While you are there, you might also want to check that "Active-X" is set to "Enabled".