Instaed of throwing all of my problems one-by-one I decided to put down what
I am trying to do and find out the best approach.

There is a common custom Interface that several apps use (these are written
in C++), we will call this interface ITestExec.  There is another
application that Proxy's this interface that is written in C++.  We will
call this TestExecMarshall.dll.

What I did was added a reference to the TestExecMarshall.tlb

I then created a C# dll with the interface:

[InterfaceType(ComInterfaceType.InterfaceIsIDispatch),
Guid("...")]
public interface ITestExec
{
   int sendTestStop();
}

I created a class that inherited the Interface:
[Guid("..."),
ClassInterface(ClassInterfaceType.AutoDual),
ComSourceInterfaces(typeof(ITestExec)),
ProgId("MyTestExec.TestExec")]
public class TestExec : ITestExec
{
   public int sendTestStop()
   {
       MessageBox.Show("sendTestStop() called");
       return 0;
   }
}

I created a C++ client to test it out:
#import "TestExecMarshal.tlb" no_namespace

CoInitializeEx(NULL,COINIT_MULTITHREADED);

try
{
   long hr = m_pTestExec.CreateInstance("MyTestExec.TestExec");
   m_pTestExec->sendTestStop();

"Run-Time Check Failure #0 - The value of ESP was not properly saved across
a function call.  This is usually a result of calling a function declared
with one calling convention with a function pointer declared with a
different calling convention."

}

but if I import the tlb of c# dll, it works.  Any ideas?