>I used the Microsoft ProgressBar Control in one of my forms. The Developer's Guide says I should include any .OCX files in my poject.
>1. Do I really need to include the .OCX file in my project or can I just include it in my distribution directory?

I didn't include my TreeView in my project and nothing bad happened to app :)

>2. How do I know which .OCX file to include?

Check OleClass property. It may be a little tricky, but the first part of it points to the name of .OCX, but it may be not the full name, for example
in my case there is ctTREE.ctTreeCtrl.1
and actual name of OCX file is cttree32.ocx

Nick