I'm assuming you are already running in an STA thread. If so, just create a hidden form that hosts the activex control. You don't have to ever make the form visible, just create it. Most ActiveX controls expect to be hosted on an ActiveX container, so there is likely no other way than this. The ActiveX container itself though can be hidden, so no one will ever see or be able to interact with the control (which sounds like what you want).
You might need to call CreateHandle() or CreateControl() on the form, though I'm not sure about this.
Hope this helps,
-Doug