The first time you run a RWW site that needs the Activex you should get prompted
Then you right click the yellow area to accept the diag
Then you'll get the login, BUT NOTE THE RED CERTIFICATE ERROR in all the above screens so far!
This means you need to run the InstallCertificate app from the folder where the certificate is that you issued from your SBS2008 server and copied to the local PC:
(Note - you may have needed to reissue the certificate on the server - see this post )
Now you can finally connect to the local PC including mapping local printers and clipboard. Note the address bar is no longer red..
Job done. :D