I dont think this question is related to InfoPath, its more of a security issue I guess. Here are the things that you can try it out
1) Security Settings in your IE do not allow for this.
a) Are you an admin on the box ?
b) Where is the form published ?
You can try settign this In Your IE.
change settings on Internet Explorer , Tools, Internet options, Security, custom level and then enable or prompt "Initializing and Script Activex controls not marked as safe" This means lower the security in browser
2) your scripting engine instalatiion maybe corrupted
You might get one from
http://www.microsoft.com/downloads/details.aspx?FamilyID=0a8a18f6-249c-4a72-bfcf-fc6af26dc390&DisplayLang=en3) Try searching for "ActiveXObject Wscript.Shell automation server can't create object" in google and you might find something useful.
Agni
InfoPathDev India