You need to implement IObjectSafety. See this KB article:
http://support.microsoft.com/default.aspx?scid=http://support.microsoft.com:80/s
upport/kb/articles/Q182/5/98.asp&NoWebContent=1

Signature
Andrew J. Ma
Software Test Engineer
Microsoft Office InfoPath
http://blogs.msdn.com/ajma
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>I have created ocx file in VB6.0 and registered in my
> system using regsvr32.exe.
> I try to add that control in Infopath 2003. It is giving
> error "the control is marked as safe for initializing".
> Please give suggestions regarding it.