On MSDN, InfoPath has hands-on labs. The ActiveX control lab was one that I was responsible for. Since it has been posted, there have been a few requests for the Visual Baisc 6.0 equivalent (instead of C++) because that seems to be the prefered way of ActiveX control creation for many to this day. Due to popular request, a Visual Basic 6.0 version of the lab has been posted here: http://blogs.msdn.com/ajma/articles/213868.aspx
It has not gone through the normal MSDN review cycle... but I've gone through it and I think it contains everything needed. Please let me know if I've missed anything.