Russel, I had a similar problem when I was instantiating the mapi object programmatically as you are. I found that by actually drawing the two mapi controls on a form (even though I did not use them) when I built the project and created the install routine it did include the mapi ocx and registered both controls in windows. I know it works with Outlook Express at least.
To draw the controls on a form select the Active X control and draw a rectangle on the form. An "Insert Object" dialog box comes up and you need to select the Insert Control option. Then select the Microsoft MAPI Message Control. Do this again for the Microsoft MAPI Session Control. I beleive both controls are contained in the same OCX. Hope this works for you.