I've had some sites do that to me. If they use ActiveX, then the only way is to run Windows. Just as angelwatt said, either use a virtual machine (Parallels or VMware Fusion) or Bootcamp with Windows.
Now some (actually very few) sites do this because they haven't undergone further testing with other browsers. Had to take a few practice tests online and they wouldn't let me log in unless I had IE. So all I did was change the user agent in Safari. It worked flawlessly at the end.
So if this happens to you and you know it's not ActiveX, just go to Safari>Preferences>Advanced Tab>tick the "Show Develop Menu in menu bar". When the time comes, just click on Develop on the menu bar>User Agent> then whichever browser they are asking for.