To stop activeX running you can either turn it off in IE or simply switch to any other browser as only IE can run it in the first place.
To prevent flash from running you can simply install noflash into Firefox or Opera. Then the flash is replaced with a grey F in the middle of the space that you have to click on if you decide that you do want the flash to run. If you never want Flash to run then simply don't install the Flash plugin in your browser as browsers don't support Flash without the plugin. Actionscript requires Flash to run.
You can also disable the ability for Flash to grab storage on your computer by changing the settings within flash itself.
To stop PDFs running in the browser simply don't install the plugin - then they will all just be offered for download and you can say yes or no.