It doesn't matter how you wrap things, web applications are request-driven; HTTP was never intended to support push from server to client.
I think one way to do that is using ajax and if i am not wrong the IE uses activeX control to make the ajax work.
You are wrong

. Its the XMLHTTPRequest object that the browser uses. That aside, AJAX is still a request driven solution, because it is HTTP based.
Browser based technologies are not really suited to this, with the exception of stuff like
Applets, ActiveX, and Flash. However, if you use this sort of thing in a browser you have to consider ignoring the browser altogether and just writing a fat client.