How this works depends on which streaming model your control uses, but assuming your ActiveX control uses the APARTMENT stream model (which is almost always necessary), you can assume that all methods in your ActiveX control will be called on the same thread. If other threads are accessing them, ActiveX will automatically redirect the call to the correct thread so that you receive it in that thread.
Similarly, you should never call an ActiveX object or COM interface that you use from a thread other than the one you received it on. If you need to make calls from multiple threads, there are ways to do this, but that is beyond the scope of this question.
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