WGA ActiveX is not installing

I have recently reinstalled my fully legit copy of XP Pro SP2. When I tried
to download the Photo Story 3, I was prompted to validate my copy. When the
visual 3 step guide to installing the ActiveX control appeared, I never
received the information bar about the control that I have received in the
past. I get no errors or prolonged increased CPU usage. The activeX is simply
not received if not blocked.

My question is how do I go about re-enabling it? I have gone into the
Security tab in Options and enabled all the settings associated with ActiveX
controls. I have also disabled my anti-virus software before trying this, and
have fully patched up.

In the Windows\Downloaded Program Files folder, there is no activeX file for
WGA. Although the "alternative validation method" does work for me, I would
rather not have to run genuinecheck.exe each and every time i want to
download even the smallest add-on to Windows!

Please tell me there's something that can be done other than doing a clean
reinstall. Microsoft should reprimand their Marketing department, as it's the
same files that may be obtained regardless of whether one has a legit or
illegit copy of Windows; no "Advantages" anywhere...