IE9 is touch more pedantic than the previous versions as regards security for AX objects
The 3 problems to solve are
1. Allowing code to be downloaded
2. Allowing code to be loaded
3. Allowing script to be run
You can turn these checks off in Options/Security, but i'd suggest you're better off fixing the root problem
First, establish if your component is actually being loaded by IE, you can do that a number of ways
1. Put a breakpoint in your FinalConstruct() for the class and debug it by running IE
2. Put a message box in your FinalContruct()
If it is being loaded, then it's probably a 'safe for scripting' issue, again, ISTR that IE9 prefers the
IObjectSafety mechanism to the legacy registry method