Unable to download ActiveX Control when requesting a Certificate

I have installed Certificate Authority on system running Windows Server 2003 and i did not had any issue in requesting certificate from the host. I am having a virtual PC running Windows Vista on Windows 2003 Server as well, however when i try to request a certificate from that virtual PC than i get a message saying "Downloading ActiveX Control" but it never downloads ActiveX . I am quite sure that i am not missing anything but i am not able to make out the possible cause of this issue.

I will suggest you to go through the below Knowledge base article and follow the instructions mentioned there for requesting a certificate. In case you don't get any help form it than you can post back and let me know for further help.
How to use Certificate Services Web enrollment pages together with Windows Vista or Windows Server 2008