I had the same problem with the IE toolbar (IE7 under win 2003, using it to style a Sharepoint site). A combination of the suggested solutions did the trick:
- Tools->Internet options->Security Tab->Local Intranet->Custom Level->Run ActiveX Control or PlugIn (Administrator Mode)
- Tools->Internet Options->Programs->Manage add-ons->IEDeveloperToolbarBHO->Enable
- Tools->Internet Options->Advanced->Enable third party browser-extensions (requires restart)