Well, first of all, open a vb6 project, select Active X and start coding. Once you have created the control, click on 'File', 'Make .exe'. This will create the .ocx for you in the directory you have chosen.
Copy this .ocx, paste it into Windows System/System 32. Click on start, Run and type "regsvr 32 MyActiveX.ocx (where MyActiveX is your control name). This will register the component and all you have to do to make it work is to reference it from your project or componenets.
This is only in a nut shell.
There are tons of help on how to create an active x component. Just search for it, get something with some sample code and learn through that. (Google - Build ActiveX component in VB6)
When you start a new program and place a command button, label, text box, or one of the hundreds of other controls available to you onto your form, you are using an activex control. So in reality there is nothing mysterious about using an activex control. Then there are suites of activex controls like when you add Microsoft Common Controls 1,2,3 to your project, or like the common dialog control. As for creating one, when you start VB, you have the choice of several different types of projects and one of those projects is an activex control...