You can either create a new GPO or edit the SBS User Policy GPO and navigate to the following location:
User Configuration\Policies\Administrative Templates\Windows Components\Internet Explorer\Internet Control Panel\Security Page
Enable Site to Zone Assignment List and click Show. Click Add and enter the site you want to allow under "Enter the name of the item to be added:" and then Enter the number 2 under "Enter the Value of the item to be added." This will add the sites to the Trusted Sites Zone.
Once that's done, modify "Locked-Down Trusted Sites Zone Template" and "Trusted Sites Zone Template" in the same section of the GPO. Set both to enabled and select "Low" for the drop-down box. This will set the Trusted Sites Zone to use low security, which will allow all sites in the Zone to download and run ActiveX software.
Let me know if that doesn't work for you.
