First of all, please see my comment to the question.
If, by some reason, you still need to test your ActiveX component, you should understand that it is a pure client-side thing, so it won't need even the local host testing. You could just open the HTML immediately by the browser and test it.
Testing of an HTML file does not require anything except a Web browser.
If you still want to test something on a local host, you just need to install one of the HTTP server. Many are open-source and are quite light weight. Please see:
http://en.wikipedia.org/wiki/Web_server[
^].
You can start here and choose the one according to your goals:
http://en.wikipedia.org/wiki/Comparison_of_web_server_software[
^].
See the documentation on the chosen server for all further steps.
—SA