After several days of banging my head against a wall, it was time to finally smile :)
When invoking a web page in an activeX component if the client needs a proxy server to access the web, then you have a problem, a not so well documented problem...
So if you ever are in this position, just use this function ;)
private static WebProxy QueryIEProxySettings(string strFileURL)
{
HttpWebRequest WebReqt = (HttpWebRequest)HttpWebRequest.Create(strFileURL);
WebProxy WP = new WebProxy(WebReqt.Proxy.GetProxy(new Uri(strFileURL)));
WP.Credentials = CredentialCache.DefaultCredentials;
return WP;
}
Enjoy :)