<p>How to create instance of AxHost abstract class</p>

You cannot create an instance of an abstract class.
You typically do not use the AxHost class directly. You can use the Windows Forms ActiveX Control Importer (Aximp.exe) to generate the wrappers that extend AxHost.
See
http://msdn.microsoft.com/en-us/library/system.windows.forms.axhost.aspx
for an example.