Thank yuo for yuor ansver, unfortunately I still get the error.

To test this error is easy, in VC++ 6.0 just start the new project wizard,
select "MFC ActiveX Controlwizard" and accept all defaults. Add an OnCreate
handler in the control with code like this:

int CMyCtrl::OnCreate(LPCREATESTRUCT lpCreateStruct)
{
    if (COleControl::OnCreate(lpCreateStruct) == -1)
         return -1;
    CDaoDatabase test(NULL);
    try
    {
           test.Open(_T("c:\\test.mdb"));
    }
    catch( CDaoException* e )
    {
            e->Delete();
    }

    return 0;
}

In the app object's ExitInstance() add AfxDaoTerm call to avoid ASSERT in
CWinApp::ExitInstance.

Using this ocx in any windows app made with .NET 2003 will produse an error
upon exit.

If I try to call System.GC.Collect() before exiting Main, like this:

static void Main()
{
    Application.Run(new Form1());
    System.GC.Collect();
}

the error message will after the call to the garbage collector has finished.