Registrator

I have that same problem before. You can try this out:
First, create an External Function for Windows' ShellExecute() method (like the code below)

Function Long ShellExecute(Long hWnd, ref String lpOperation, ref String lpFile, ref String lpParameters, ref String lpDirectory, Long nShowCmd) Library "shell32.dll"

In your application's Load event, you can use the ShellExecute to register the ocx using RegSvr32 command.

'Declare variables
String ls_command, ls_file, ls_parameter, ls_null

ls_nullStr = Null
ls_command = "runas" 'You can use here "open" if using Pre-Vista OS
ls_file = "regsvr32"
ls_parm = "codejock_calendar.ocx" 'Set this to the path of your ocx
               
'Call ShellExecute
ShellExecute(Handle(This), ls_command, ls_file, ls_parm, ls_nullStr, 9)

You can check on MSDN a detailed overview of the ShellExecute method.
Using this approach will have the user account control dialog to appear, which asks "Do you want to allow the following program to make changes to this computer". Of course you have to click Yes so that the ocx will be registered. Just add your own code to check whether the ocx is already registered or not before the actual ocx registration.
A better method is to create you application installer and have the ocx registered during the installation.