>Is there a nice way to just go into VB and say "List all dependencies" or something like that?


Not sure, if it is a "nice" way, but you can open your VBP file in Notepad and find all OCXs that are referenced in your project. You can get similar information from inside the IDE via project/components menu.

Still, dependencies won't be made transparent.
The DEP Files should reside where your OCXs reside, usually the system directory.