I need to know what is the advantage of classes as compared with normal modules??
and If I make an ActiveX with classes, should that let the code execute faster than if the same code is written within the form code??

Normal modules are used for Global purpose. You can place your global variables , functions, etc.

But Class Module is similar to Classes in other object oriented languages like c++, java . You can use class modules for making ActiveX.

I dont know the fast of execution. but if you use class modules, it definitely underlying the object oriented concepts.