It just happened to me today and since then no way to solve it. Actually when I have a .swf shockwave/flash file I can drag and drop it on my internet explorer and the flash player will play it. But today I went on a webpage that had a flash movie and instead of playing it, it opened a new IE window with the url of the flash file on the address bar (ie. http:blabla/blabla/movie.swf) and then a blank screen. Weird.
I went on the macromedia homepage to download again the flash player 6 and generally there had to be a warning dialog box that should appear asking me whether i want to install it or not. Nothing appears. That means I'm stuck and can do absolutely nothing. Help. F1 F1.

ActiveX problem perhaps?

How can i find out/solve it?

Never mind :)
http://www.experts-exchange.com/Web/WebDevSoftware/Flash/Q_20324480.html

Plus, I noticed I only had futuresplash and not flash player... that was why it didn't play flash. No idea how that splash could replace my flash player.

Edit: i finally found on the FAQ of macromedia the way to solve it. Hope it'll help other victims of this activex bug (btw you got right Eddie it WAS actually an activex failure/bug)

http://www.shockwave.com/sw/help/player_faq.html#two_one
http://www.dstv.com/troubleshooting.cfm

That's lucky... I don't know of any other way of fixing a damaged copy of IE than a reinstall. ;)