Annoying Activex Prompt

Hi, I accidentally downloaded an activex setup file and now pretty much every time i use internet explorer and explorer i get a prompt saying you have a dangerous virus etc we recommend you download this file, which is a rogue spyeware thingy ive tried a few things to find the prompt thing to delete it but i can't find it does anyone have any ideas?? Any replys will be much appreciated!!!!

thx