Hello,
i had this problem a year ago. i fixed it by using the function
wglMakeCurrent(hDC,hRC).
Because opengl acts like a state-maschine, you have to specify the window you want to render to. Go to the drawing-method of your ocx and call the function before drawing anything. This should help. For more information on using wglMakeCurrent, see msdn.
This is because you can only have 1 current opengl context per thread. You can do the wglmakecurrent/wgldontmakecurrent trick to fix the problem, but you would have to do that in every function which uses GL.