I recently tried to do a simple demo of hosting a control in IE to show how the CLR will behave when there are multiple framework versions on the machine.  I just couldn't get it to work.  It was a silly thing on my part (yeah, silly now... not so much at 2:00am the night before the demo), the web site wouldn't serve .dll files. 

Here are some great resources for learning about and hosting Windows Forms controls in Internet Explorer.

Diagnosing control in browser issues

Strong names for controls in the browser

If you are completely unfamiliar with hosting Windows Forms controls in the browser, see this introductory post or this article for a Hello World level example.