ActiveX Document Deployment as a DLL

I've developed an application I have to deploy as an ActiveX doc.
I seem to be able to do readily if I use a .exe,
but, when try to do this using a .dll nothing happens when
I open the .vbd. Typically enough a dll is whats required by my boss.

The cab and dll are both in place and there's
no 'hungover' processing viewable in taskmanager.

So - does anybody out there have any idea where I'm going
wrong and what the difference .exe and .dll deployment is?

We're not trying to deploy via a WWW server. Writing the
app. for ie5.5 and distributing it via a CDRom .