It's a bit of a no brainer, but if you get that error in KoolMoves you need to allow ActiveX controls to run in the Internet zone in Internet Explorer (I got it trying to preview a Motion Script effect).
In IE7 you either double-click the globe in the status bar , or go to Tools -> Internet Options and select the security tab.
Make sure the Internet zone is selected and click "Custom level..."
Scroll down to the ActiveX settings (there's a good few) and under "Run ActiveX controls and plug-ins" select "Enable".
Say yes to make the change, and Ok twice. You don't have to restart IE or KoolMoves, just reselect an effect and it should work. If it doesn't, make sure you have the Flash plug-in and check your other ActiveX security settings in the same place.