Security Error when adding Activex Control

.NET security is managed through the CAS.  You'll need to give your .NET assembly permissions to do all the things you want it to do.  You can use caspol, or the .NET Security Framework tool (if you have the SDK installed), or you can build an installer.  Even if you're asking the 3rd party dll to do something, it's constrained by your security permissions.
http://blogs.msdn.com/b/shawnfa/archive/2003/06/26/57026.aspx
Hope this help you.