Internet Explorer 9 Tracking Protection and Internet Explorer 9 ActiveX Filtering

With Internet Explorer 9 Microsoft has extended IE8's InPrivate Filtering feature (now renamed Tracking Protection) and made it truly usable. They have also added a new feature called ActiveX Filtering. Here's how to use both.

Microsoft introduced InPrivate Filtering with Internet Explorer 8. They did so because website content provided by third parties is often used to track what sites a user visits and/or to display ads. InPrivate filtering keeps these third parties from collecting information about you and may be used to block ads. Unfortunately InPrivate Filtering is off by default each time Internet Explorer 8 is re-opened. A registry edit workaround allowed a person to set this to always on. Now in IE9 Microsoft has given people the ability to control InPrivate Filtering without the need to edit the registry.
To get started first set IE9's Tracking Protection to enabled. Do this by clicking the "gear" icon and then choosing "Safety" - "Tracking Protection".

In the "Manage Add-ons" window that opens "Tracking Protection" should already be selected. If it isn't do so yourself. Then click on "Your Personalized List" to select it and set it's status to "Enabled". Do so with the button in the bottom right corner.

There are many options for how to create a tracking protection list of sites to block. Click the "Learn more about Tracking Protection" link at the bottom left of the "Manage Add-ons" window to find out about them. But I prefer to automatically block all third party tracking. The steps to do so are below.
To block all third party tracking Click the "Settings" button. In the "Personalized Tracking Protection List" window there are many options for how to block content. I prefer to automatically block all third party content used on more than 3 websites. I wish this setting could be set to 1, but Microsoft has set 3 as the minimum able to be selected.

ActiveX Filtering will keep any ActiveX controls that are embedded within a website from running. This is good because ActiveX controls have long been a security concern for computers running Windows.
To turn on ActiveX Filtering click on the gear icon and choose "Safety" - "ActiveX Filtering". A checkmark will appear next to the "ActiveX Filtering" menu item whenever ActiveX Filtering is on.

Now whenever a site is using an ActiveX control or third party tracking, a warning symbol will be displayed next to the site's address. If you click on the blue warning symbol you'll have the option to add the site in question to an exceptions list for either ActiveX Filtering and/or Tracking Protection.

When you "Turn off ActiveX Filtering" or "Turn off Tracking Protection" you are adding the given site's address to a list of exceptions that gets stored in your computer's registry.

This exception will remain unless you de-activate it by once again clicking the warning symbol (while on the given site) and choosing to turn "ActiveX Filtering" and/or "Tracking Protection" on again which removes the registry entry for the site you're on.
One final setting to take care of is in IE9's Internet Options area. Click on the gear icon and choose "Internet Options"

In the Internet Options window that opens choose the "General" tab (should be chosen by default) and click the "Delete…" button.

In the "Delete Browsing History" window make certain that the "ActiveX Filtering and Tracking Protection data" checkbox is NOT checked.