In building a win32 host for the flash player I had found this article: http://msdn2.microsoft.com/en-us/library/aa752046.aspx
The article is somewhat out of date as it applies to Visual Studio 6.0 but the steps are still the same. The old class wizard works differently now and the default project doesn't automatically make the connection between the dialog template and the subclass. I have to add a new class from the dialog editor before it made the connection.
Once you have a connection to a subclass you can add a variable for your Active-X control and everything just works after that.