Firstly, it sounds to me like theres a problem with IIS/Win2K rather than. I can't think why PHP would come up with an ocx error.
Secondly, how are you installing PHP? Are you using the windows installer method? If so, then I suggest that you download the binaries method of installation. The added bonus of using this method is that you get all the extensions, whereas if you use the windows installer, you don't.