To load controls specified as part of a dialog resource, you can create a class based on the Dialog, Composite Control, or Light Composite Control object types provided by the ATL Object Wizard, or you can call the AtlAxCreateDialog/AtlAxDialogBox APIs. Each control on the dialog box will be automatically hosted in its own "AtlAxWin" window.
For information, see Composite Control Fundamentals and How Do I Add ActiveX Controls To a Dialog Resource?