What library you use - MFC or ATL.
There are two solutions:
1. you set parameters into OBJECT tag:
<OBJECT ID="..." CLASSID="...">
<PARAM NAME="..." VALUE="...">
... ...
</OBJECT>
For this you should add support of property bag persistence.
2. you set parameters into JScript function (OnLoad) with special methods of interface:
Create methods for your ActiveX interface ... use type of your parameters such as BSTR, VARIANT, etc...
Example JScript function:
function Start()
{
document.all.ActiveX.Init("123456789"

;
document.all.ActiveX.Start("2002", "October"

;
}
For more information please specify your problem.