to generate the ax* assembly: See Generating a Complete Control Class Definition by Using AxImp.exe
$ which aximp
\Program Files\Microsoft SDKs\Windows\v6.0\Bin/aximp
$ aximp wmp.dll
Microsoft (R) .NET ActiveX Control to Windows Forms Assembly Generator
[Microsoft .Net Framework, Version 2.0.50727.312]
Copyright (c) Microsoft Corporation. All rights reserved.
AxImp Error: Unable to locate input ActiveX library: 'C:\wmp.dll'.
$ AxImp.exe C:\\WINDOWS\\system32\\wmp.dll /source
Generated Source: C:\cygwin\home\smnb\myprog\c\msc\test\junk\junk02\MediaPlayer_test\AxWMPLib.cs
Generated Assembly: C:\cygwin\home\smnb\myprog\c\msc\test\junk\junk02\MediaPlayer_test\WMPLib.dll
Generated Assembly: C:\cygwin\home\smnb\myprog\c\msc\test\junk\junk02\MediaPlayer_test\AxWMPLib.dll
AxWmpLib.cs is the source of the Interop library AxWMPLib.dll.
sample (c#)