Error message when trying to open any folder on my Desktop

I get the following error message when I try to open any folder on my desktop.

Your current security settings prohibit running ActiveX controls on this page. As a result, the page may not display correctly.

I also keep getting random pop up ads coming up on my computer. This all started happening after I downloaded a game online. I uninstalled this game but I am still having these problems. I did a spyware scan and found some errors that were removed but this still did not help with the problem.
I did a search online about this error but I have not found anything that has helped my problem so far. I hope someone can help me. Thanks!

 

Thanks. I will work on this and post in the other forum.