Sorry for the long response but I wanted to add some additional information to my similar frustration with this.
The above solution works only
temporarly on both
MSN 10 Explorer and
IE 8 Explorer.
It a serious issue with Active X and Bing search.
This is an ongoing problem I have had for months with two of my five computers (others computers are fine and set up exactly same). The two with issues have Vista Pro and the other Windows 7 Pro other two working fine are 2X Windows 7 Pro and Vista Ultimate all with up to date virus programs. Bing is my defalt search browser and I do not wish to change or remove Bing (just want it to work correctly). Silverlight is installed as well as all current windows security updates. I have done numberous virus and malware scans using MS malicious software removal tool and my virus and malware removal software. No malware or virus was found.
The problem: It continually under a Bing search wants to download or save a file called "search" or download "Active X" similar file. In my case it all started happening with a normal windows update of Bing Bar from the MSN search Bar.
This also happens when trying to open the Bing.com site or Bing search in MSN home page web page.
I got two answers from MSN Report a problem & Customer service: They suggested resets, clear cookies, as above plus reset security setting and also reset the Advanced tab setting. I also later out of frustration did a compleate IE 8/9 reset to original setting. This works temporay solution allows search to work but only until I log off, shutdown or reboot and then the Temp Internet Tab settings revert back to "Automatically" from the "everytime I visit the web page". You have to go back an reset all again every time you shut down or reboot in order to regain you Bing search. If somehow the "every time I visit a web page" setting can be saved or pegged the problem might not reappear.
It has a lot to do with IE Explorer which MSN explorer shares settings with along with Active X in Bing and Adobe Flash Player. I removed both Bing Bar and Flash Player it does not happen as often but eventually returns downloading "Active X" or a randowm "Search" file. Flash player 10 appears to be the biggest culpret and the resets do not work when present.
I reinstalled the newest latest Bing bar 7 for IE.
Note: This download or saving a "search" file does not happen when using other seach engines such a Google and Yahoo.
Thanks any help would be much appreceated