Here is the text from Rick's article on the subject. Specific to IIS 3.0. Don't know if it applies to more recent versions.

"COM Object Servers can be built as DLLs or EXE servers. ASP encourages use of InProcess DLL servers, but you can run EXE servers by setting a special registry key in IIS 3.0 (HKEY_LOCAL_MACHINE\SYSTEM\ CurrentControlSet\Services\W3SVC\ASP\ Parameters\ASPAllowOutofProcCmpnts) or a MetaBase entry (ASPAllowOutOfProcComponents set on either the Root or specific virtual directory see ). "
http://www.west-wind.com/presentations/IIS4Com.htm