<p>In VB6, ActiveX DLL is listed as a project template but in VS 2005+ there is no such thing. Where is my good old ActiveX DLL template? Many thanks in advance.</p>

Try this:
http://msmvps.com/blogs/pauldomag/archive/2006/08/16/107758.aspx
It outlines how to create an activex control and use it in a web page.  As far as I know there's really no 'ActiveX' project template since .NET does it differently.  However you can make your .Net controls visible to the COM world, which the article above illustrates.