Virus Help

Hello,
I've got a seemingly small problem. I have a virus that seems to not have taken effect. I was on a website and it pops up saying "Download Active X Control" or something. My anti-virus (yes MY anti-virus CA, not a bogus one) and it says that theres a file infected. It was a bunch of numbers and stuff, so I couldn't remeber it, anyway I scan and while that is going on, I look for everything I've accessed in this day. I find something with a bunch of code, and I open it up and I see 4 files, one with even more code and the others Java-related, I click on the coded one, othing, I left click it and hit my only choice, "Properties". When the next window comes up, it says "ActiveX Control", I'm sure I've found it. I try to delet it, nothing, I go back one file and try to delete that, it says "You need permission to do that" so I try scanning that individual file, and it says it only scanned 2 things, when I saw 4. I think I've found it and I can't get rid of it, I've heard of how awful Active X Control virus can be, and I don't want a nuke waiting to go off sitting in my computer, plz help!