I've spotted that many of the MOSS 2007-based sites I've looked at so far come up with a prompt:
"This Web site wants to run the following add-on: 'Name ActiveX Control' from 'Microsoft Corporation'. If you trust the Web site and the add-on and want to allow it to run, click here..."
Apparently this is due to the Online Presence functionality built into Sharepoint. On a public facing site, this functionality may not be needed.
To prevent the message appearing when someone browses to your public facing site, you can either go around and every machine on the internet that needs to browse your site and make some changes [sarcasm intended], or follow Method 3 in this knowledge base article to edit the master page not to attempt to use the functionality: http://support.microsoft.com/kb/931509