I've tried to disable the "Enhanced Protected Mode" in IE but it still does not work. I did not have this problem when using IE9, but since now for some reason I can not install back IE9, I have to use this version of IE. Any suggestion?
This is how I finally resolve this issue. This issue is caused by IE11 running on 64-bit mode so the ActiveX control does not work. So I have to force IE to run in 32-bit mode by adding the registry key as mentioned in this link. After that, it can load the report normally.