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>I gave that a shot. Nothing happened. Ready for a stupid question? Shouldn't there be some kind of code in the CmdExecute() method? In the properties sheet it is set to [default] and when I go to view the code window all it says is "*** ActiveX Control Method ***".

No, you don't need any code CmdExecute() method. It suppouse to do whatever it's program to do in the ActiveX.
Are you sure you prepare whatever need to be prepared and populated all the right properties?
What result did you expect?