The ActiveX Control Wizard is missing in Delphi 2006 by default.
You can bring it back by adding the following string value in the registry:
[HKEY_CURRENT_USER\Software\Borland\BDS\4.0\Type Library]
"ActiveXWizard"="True"
I’ve just found it in a comment to QC25012.
Also see Delphi 2006 Hidden COM Registry Entries.
Regmon reveals another missing registry entry, "InteropCheck"="True", also mentioned here.