This goes against Microsoft recommendation, and most toolbars and IE extensions wouldn't do it. Take a cue from Adobe (reader and flash), Oracle's Java, DivX, Google toolbar, etc. None of these extension enable themselves on installation, but let the user do it. However, if your extension belong to the class of SpyWare, AdsWares, or just a plain good old virus - then by all mean you want your extension to be enabled, without the user actually enabling it.
Do it here: HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Ext\Settings{CLSID}\Flags (REG_DWORD)
{CLSID} is the COM clsid of your object. Bit zero will dictate whether the extension is disabled/enabled. Will take effect after you restart IE.