How to run a script from within a web browser

Choosy does exactly this (among other things).

Forget the default browser, Choosy opens links in the right browser. When you click on a link Choosy will do the right thing, whether that's something simple (like using whatever browser is already running) or something complex (like prompting you to pick a browser, but only when you hold down the shift key and click on a link to google.com).

If another browser uses the same rendering engine as IE then it is also vulnerable. In effect, there is not much difference between IE and its ActiveX object.

Your KB article links to MS14-021 which better explains the issue. It also says:

Add sites that you trust to the Internet Explorer Trusted sites zone

After you set Internet Explorer to block ActiveX controls and Active Scripting in the Internet zone and in the Local intranet zone, you can add sites that you trust to the Internet Explorer Trusted sites zone. This will allow you to continue to use trusted websites exactly as you do today, while helping to protect yourself from this attack on untrusted sites. We recommend that you add only sites that you trust to the Trusted sites zone.

To do this, perform the following steps:

1. In Internet Explorer, click Tools, click Internet Options, and then click the Security tab.
2. In the Select a web content zone to specify its current security settings box, click Trusted Sites, and then click Sites.
3. If you want to add sites that do not require an encrypted channel, click to clear the Require server verification (https:) for all sites in this zone check box.
4. In the Add this website to the zone box, type the URL of a site that you trust, and then click Add.
5. Repeat these steps for each site that you want to add to the zone.
6. Click OK two times to accept the changes and return to Internet Explorer.

Use this procedure to add only the websites in which you must use ActiveX to the Trusted sites zone, so that ActiveX will be permitted for them, and them only.