Sylvain,
If the server needs to have a UI it has to be out-of-proc. If you don't need a UI it can be either one. Calls to an in-proc DLL server are about twice as fast as calls to an out-of-proc EXE server in my testing.
>I'm still confused about ActiveX Server. In which cases would a out-of-process ActiveX Server (.EXE) will be preferable over an in-process one (.DLL)?