I have a third party ActiveX Control that I want to package up in a msi so it can be deployed and registered via Group Policy. The goal being I don't want the end user to have to click through and install the ActiveX control in IE. I have the Cab file which contains (2) ocx files, (1) inf file, and (1) dll. How do I know get these installed and registered as an ActiveX in IE?
I haven't tried this, but I would have concerns about how an automated deployment of an ActiveX control would interact with Internet Explorer security. My gut feeling is "not very well". I'd be more inclined to configure policies to trust either the site using the control (if you're satisfied that it's safe to do so) or the control itself (which could be a little fiddly) and let the control come down in the normal manner.
What you're asking for is completely feasible. The "how" you do it, basically, is to learn to use an MSI authoring tool, determine where the files need to go on the hard drive, determine what needs to go into the registry, and build an MSI file that does what you want.
Personally, I use the Windows Installer XML (WiX) toolkit to build MSI files.
There are a lot of third-party graphical MSI builders out there, too. They break down into snapshot-based and non-snapshot-based.
The snapshot-based package builders suffer from the problem of picking up unrelated changes to the snapshot computer during software installation and can create really messy packages. I will sometimes use a snapshot tool to get a "feel" for what an installer does, but I always build my production packages by-hand.
The non-snapshot-based systems are usually just graphical IDEs for the MSI schema (and some general WiX XML source files that are "compiled" with WiX), allowing you to drag and drop, etc, to create packages.
Whtever you do, gaining some knowledge about how the Windows Installer works will give you the best chance of building good packages. Microsoft's documentation is a bit dense, but there's a lot of good stuff in there. In the end, I've found that trial-and-error has been the best way to get familiar with the nuances of Windows Installer.