Take a look at the following article:
http://www.microsoft.com/mind/defaulttop.asp?page=/mind/0497/mfc.htm&nav=/mi
nd/0497/inthisissuecolumns0497.htm
In it, the author ported the MFC Scribble application to an ocx. There is a
CActiveXDocControl class as part of it that you may find helpful. Basically,
it will wire doc/view into your ocx by parenting a CFrameWnd to your
COleControl, which in turn will house a CView.