All of Windows media video files require a license which I can't seem to figure out how to acquire them. Active X???What the heck is that? Can't seem to get it. Any advice or help out there???

i wouldn't download active-x unless it's from a trusted site. I did once and one hell of a time trying to get rid of the adware/spyware that was installed on my pc because of it.

Are these wmv files? See What you should know about WMA & WMV Files

http://en.wikipedia.org/wiki/ActiveX#Internet_Security

For video avi, and mpg/mpeg are the best.

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