>How can you tell what ocx or dll file you need to register for a activex control such as a date time picker or progress bar?

You can find ActiveX list in ActiveX Controls Overview in the help.

Check also http://www.ita-software.com/papers/FT407_Borup_InnoSetup1.pdf and http://www.ita-software.com/papers/Borup_InnoSetup.pdf