As you may already know, rogue/fake anti-virus programs are promoted and installed mostly through the use of Trojan viruses. There are many fake or infected websites on the Internet. Those websites are the main source of infection. One of such websites is www2(dot)braveguard5(dot)co(dot)cc (please don't visit it!). I took this particular websites as an example, because it displays fake online video player and states that "Video ActiveX Object Error: Your browser cannot display this video file."
Apparently, this fake Video ActiveX Object Error message was made for Windows Vista users, but works for Windows XP users too. This is the first visual sign that ActiveX Object Error warning is fake, because you can't actually expect Windows Vista style pop-up on your Windows XP machine. Once you click "Continue", you will be prompted to download .exe file which supposedly fixes this error. However, in reality, you will get a Trojan Horse instead of working player. This is a very common way how Internet users infect their computers. Remember, if you have Flash player installed on your computer then you don't need any other. Flash player can be downloaded from the Adobe website. Also, if you get a pop-up telling you to update your flash player, please make sure that it's from Adobe.
Finally, if you unadvisedly installed a fake flash player on your PC then you should scan your computer with an anti-malware program. You can choose one from the list below. All these programs are free.