There are no ActiveX viruses known to us at the moment. However, this is likely to change in the future.
There are some known and potentially dangerous OCX ActiveX applets out there, but no viruses.
One example is OCX.Exploder, an applet that shuts down Windows. This applet is no longer detected by FSAV since it can be used as an useful tool as well.
Disinfection & Removal
F-Secure Anti-Virus found a HTML page that contains reference to a known vulnerability in Internet Explorer. The vulnerability allows execution of code in the current user context. Furhter information, including a fix, is available from Microsoft: http://www.microsoft.com/technet/security/bulletin/ms00-075.asp