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.
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