The suggestions on how to subclass OLE control works. So far everything works in the test mode.
Except I have not tested a case when the ActiveX is not registered. I tried to un-register this OCX but somehow it still does not produce the error. And I don't have another computer where I could test this.
Therefore my question is whether the following way to Catch the error is the right approach:

*-- In the INIT method of the VFP Toolbar (where I am instantiating the OCX ListBar control) I have the following code:
lSuccess = .T.
try 
   with this
        *-- I created a class DBF_LISTBAR subclassing the DBI Listbar OCX
	.AddObject( 'Listbar', 'dbi_listbar','dbi_listbar')
	with .listbar
	   .Height = 600  
	   .Name   = "ListBar"
	   .Width  = 110
	   .Visible = .T.
	   .WordWrap = .T.
	   .BarHeight = 20
	   .ListMargin = 40 
	   .ItemWidth = 70  
       endwith 
   endwith 
catch to oError
   *-- Actual message will be different, less technical
   messagebox("Cannot instantiate the Listbar control because OCX is not registered",48,"Problem")
   lSuccess = .F.
endtry 

if !lSuccess
   return .F.
endif 

Does the above approach make sense?