There are two ways to do this:
The first is the most common, but I highly recommend against it, unless you know that the OCX works, won't be changed, and is needed by other applications besides LabVIEW. This method requires that you register the ocx. Use regsrv to do this.
The second method is much less formal, but allows you to change the ocx without affecting your LabVIEW code (in my experience). Simply place the ocx in a directory of your choice, go to LabVIEW, and browse to the ocx manually.
Good luck.