The ActiveX Disabling method doesn't work for download links that are WGA-protected, only for Windows Update. If you try and download a WGA-protected link like this one:
http://www.microsoft.com/downloads/details.aspx?FamilyID=0c4bfb06-2824-4d2b-abc1-0e2223133afb&displaylang=en
you will be asked to download an exe file and provide a serial it creates to continue, since the ActiveX control is disabled. The only viable workarounds are the script method described here:
http://forum.exetools.com/showpost.php?p=39424&postcount=42
or to have a patched LegitCheckControl.dll, like the ones posted in this thread:
http://forum.exetools.com/showthread.php?t=7638