Sandboxie, IE7 and ActiveX on Vista

I'm new to Sandboxie and am trying to use it with IE7 for online banking. At the moment I'm getting an error when I try to login which says ActiveX is required to use the site. I can login without problems when IE7 is not in a sandbox - now I'm trying to figure out what needs to be adjusted. I'm using Vista with IE7 protected mode enabled for all zones. Internet security settings are pretty much default (with the exception of protected mode being enabled for trusted sites). Also, when I run IE7 in the sandbox I notice that protected mode is off. I've gone through the Sandboxie online tutorial, but didn't find an answer. TIA for any help with this.