How unfortunate it is that MS doesn't support this library. It's quite useful actually, but they keep moving the location every couple months.... The current download location is http://www.asp.net/IEWebControls/Download.aspx?tabindex=0&tabid=1, but they have changed the distribution to a source form. So you don't get the original MSI which placed the DLL in the GAC ready for use in your projects. I'm using the original MSI that I uploaded to http://deverest.com.ar/downloads/IE%20WebControls%20Version%201.0.msi and http://dotnetopensrc.sourceforge.net/IE%20WebControls%20Version%201.0.msi as a convenience to you.
This was first published in October 2003