You're not in design mode, which is why you can't exit it.
I'd say that either that's a Form control, not activex, or you've run into one of the most common issues with activex controls, where the version of the form library on your computer is different to the one used to create that control. In that case, you need to close office applications, and locate and delete any .exd file (temp files that are created for activex).