Not sure what it means to "...add an instance of the class at run-time instead of adding the control." The following is from http://support.microsoft.com/default.aspx?scid=kb;EN-US;192693 and is a resolution to a known issue with ActiveX controls in EXEs.

Add the control you want to use into a class that is saved in a Visual Class library or into a class 
created with the DEFINE CLASS command. Next, add an instance of the class at run-time instead of 
adding the control.

I'm currently using this to access the control:

DEFINE CLASS EMPS_Class AS SESSION OLEPUBLIC

	* Using the MSWinsck control for basic port communications
	IMPLEMENTS DMSWinsockControlEvents IN "c:\windows\system32\mswinsck.ocx"

	lGarbageCollected = .F.

	oSock = NULL


	**********************************************************
	PROCEDURE INIT

		* Create the port communication object
		THIS.oSock = CREATEOBJECT("MSWinsock.Winsock.1")

	ENDPROC