The malicious site attempts two different methods to attack its visitors. The first is an attempt to exploit a Microsoft MDAC RDS.Dataspace ActiveX Control Remote Code Execution Vulnerability (MS06-014).
This attack would only affect website visitors using versions of Microsoft's Internet Explorer (IE) browser, as the website basically requires visitors to use an ActiveX Control, then uses a loophole in the way the ActiveX Control interacts with the IE browser to provide remote attackers complete control over a victim's system.
The MegaGames website is currently still compromised and its misfortune illustrates a good point. Many Internet users are under the impression that they can only get infected with malware if they visit "obviously risky" (dodgy) websites, such as "pr0n" or "warez" sites. Unfortunately, that's not true. Malware writers have been getting more sophisticated and today, even legitimate news or business sites can get surreptitiously compromised.