I cannot get a program called MP3 Rocket to operate

It would also be useful to know what version of Windows and IE we're talking about...

There are various versions of Flash Player for various browsers (ActiveX Control for IE, NPAPI for Firefox/Safari, PPAPI for Chromium-based browsers).  I've no idea which one MP3 Rocker requires and I couldn't find this information on their site.  Their support site requires an account login, so I couldn't search there.  You also don't indicate which Windows version you have, however, based on your last sentence it's Windows 8 or higher.

On, IE ensure Flash Player is enabled, and ActiveX Filtering is disabled:

• Flash Player issues on Windows 8​
• https://helpx.adobe.com/flash-player/kb/flash-player-issues-windows-10-ie.html
• Adobe Flash Player issues with Windows 10 (Microsoft Edge)

If the program requires a different Flash Player for a non-IE browser, launch that browser and navigate to https://get.adobe.com/flashplayer to download and install Flash Player.

THe Flash Player Help  page has links to enable Flash Player in various browsers.

If none of these options work, and Flash Player is enabled (and ActiveX Filtering is disabled) and the program still doesn't work, but Flash content plays on other sites, contact MP3 Rocket for assistance.