In IE (with XP) I can find ActiveX downloads and delete them by going to IE Properties, General Tab, "Temporary Internet files", Settings button. Then when I click the View Objects button, it takes me to this folder:
C:\WINDOWS\Downloaded Program Files.
I'm not familiar with 2000, but maybe it has something similar? I imagine that if you do find it you'll get some warning about deleting it. A word of caution. Once it's deleted, it's gone. It won't go to the recycle bin. (I'm pretty sure of that.) You also won't be able to copy or move it to another location separately. But you can go into WINDOWS and copy the entire folder, just in case deleting it messes something up.
Edited by mommabear, 03 August 2008 - 04:40 PM.