You can declare a Silverlight library (not one built with/for .NET Framework) in XAML using the namespace declaration and specify the type and assembly name. Then you can reference those types in XAML or in code-behind. If your declared assembly has other referenced assemblies, the Silverlight CLR assembly resolution mechanism will trigger their download without you having to declare them in the XAML. They will be looked for in the same location as your declared assembly was downloaded from on the server.
Silverlight does not provide you any way to install or run an ActiveX control. You need to use the browser's facilities for this and this requires users to explicitly opt in. However, it is possible for two functional ActiveX controls on an HTML page to talk to each other via the Javascript layer. In fact I have a sample of this using Silverlight and Google Gears - two separate ActiveX controls in IE from separate vendors with the integration coming together in the HTML page with script. See http://nerddawg.blogspot.com/2007/06/google-gears-and-silverlight.html
Ashish Shetty | Program Manager | Microsoft