In simple terms, here is what you need to do:

  1. Download and install .NET Framework and IEWebControls source on your local computer.
  2. Compiling or building IE Web Controls. This part requires CSC.EXE (C# compiler) that is shipped with ASP.NET and does not have to be done on the server where controls are deployed. All you need is to have the .NET Framework and IEWebControls source installed on the computer. You can do this on your own computer. When the build process is complete, you will have a build folder containing Microsoft.Web.UI.WebControls.dll and a Runtime directory of supporting files.
  3. Copy the contents of the Runtime directory to the webctrl_client\1_0 directory under your top-level site directory (D:\FTP\UserName\Htdocs\). This will create the following directory structure:

  4. Publish your application. The application can be published to the web server root (D:\FTP\UserName\Htdocs\) or to a subdirectory (D:\FTP\UserName\Htdocs\MyApplication\). The root directory of the application must be approot; Htdocs is always an approot. Visual Studio.NET does this by default for sub-directories during the publishing process. 
    Read the following Knowledge Base article for more information:
    How can I create an application for my ASP.NET project using Microsoft Visual Studio?
  5. Create a /bin subdirectory for the application and copy the file Microsoft.Web.UI.WebControls.dll to this directory. For the examples above, it will be:

Now you should be able to run the application by clicking the URL of the application.

You can get more detailed instructions from the readme file that comes with IE Web Controls.