webopedia defines activex as:
"A loosely defined set of technologies developed by Microsoft for sharing information among different applications. ActiveX is an outgrowth of two other Microsoft technologies called OLE (Object Linking and Embedding) and COM (Component Object Model). As a moniker, ActiveX can be very confusing because it applies to a whole set of COM-based technologies. Most people, however, think only of ActiveX controls, which represent a specific way of implementing ActiveX technologies."
ActiveX controls are the controls that you use in your forms, buttons, listboxes, etc. To use them they have to be compiled to .ocx.
I have a tutorial for an oval button at my site to show what is involved with writting an ocx control.
http://www.angelfire.com/80s/wayne0/Code/ButtonOCX.html