Can you include ActiveX control in other dialogs in your application? If not, the project was probably not create with support for ActiveX controls. To fix this you will have to add the following line to your StdAfx.h:
#include <afxdisp.h>



And add the following line to your InitInstance (in the App class)
AfxEnableControlContainer();



Outside of that, you could try debugging into the Create of your dialog and see where exactly the problem is.