Putting your files
Well, this is not a must. But, some examples are already configured to load their resources from specific directories. So, it would be better if you could put the files into this kind of structure:
All of the Active CDX's files are located in C:\CDX\ACDX.
Registering the OCX
If the program is not running or you can't find the control when you want to insert them into your program, then it might because you need to register the control first.
Every compiler provides different way to register the control. But the general way to do this is to use the regsvr32.exe, like this:
c:\windows\system\regsvr32.exe /s ActiveCDX.ocx
Note for Borland Delphi user
These are the step by step procedures to register and put the Active CDX into the palette page: