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Gopher is not harmful and in most cases gopher pages are far safer than web pages. This comes from the lack of active scripting on gopher pages. Internet Explorer is one of very few browsers to support ActiveX, one of the biggest security threats among the web scripting languages.

From Wiki-pedia:

Malware, such as computer viruses and spyware, can be accidentally installed from malicious websites using ActiveX controls (drive-by downloads). Signed Java applets can also be used for such attacks, although this is rare.

ActiveX controls — small program building blocks — can serve to create distributed applications that work over the Internet through web browsers. Examples include customized applications for gathering data, viewing certain kinds of files, and displaying animation.

One can compare ActiveX controls in some sense to Java applets: programmers designed both of these mechanisms so that web browsers could download and execute them. However, they also differ:

Java applets can run on nearly any platform, while ActiveX components officially operate only with Microsoft's Internet Explorer web browser and the Microsoft Windows operating system.^[2]
Programmers can grant to ActiveX controls a much higher level of control over Windows than Java applets ever achieve, making them both more powerful but also potentially more dangerous.