We deployed Project Professional and Project Web App as RemoteApp programs for a client of ours recently.  The odd thing is some folks had issues even connecting to the TSWEB site in order to access the programs.  The users had though the ActiveX control was installed properly, however, upon accessing the TSWEB site we setup, the message clearly indicated an issue.  Fortunately for us, however, the solution below worked.

 

Let me fix it myself

To fix this problem yourself if the control is not displayed, you can try the following steps to attempt to display the control by resetting Internet Explorer back to a default configuration. 

1. Start Internet Explorer.

2. Click File, and then click Import and Export.

3. Follow the steps in the wizard to export your Favorites.

4. Click Tools, and then click Internet Options.

5. Click Advanced, and then click Reset.