Нашёл хороший пример и реализовал его.

struct Window : IOleClientSite, IOleInPlaceSite
{
public:
    /****************** IUnknown ***************************************************/
    HRESULT __stdcall QueryInterface( REFIID riid,    void** ppvObject )
    {
        if( !ppvObject )
            return E_POINTER;
        if( riid==IID_IUnknown || riid==IID_IOleWindow || riid==IID_IOleInPlaceSite )
            return *ppvObject = (void*)dynamic_cast<IOleInPlaceSite*>(this), S_OK;
        if( riid==IID_IOleClientSite )
            return *ppvObject = (void*)dynamic_cast<IOleClientSite*>(this), S_OK;
        *ppvObject = NULL;

        return E_NOINTERFACE;
    }
    ULONG __stdcall AddRef() { return 1; /*one instance*/ }
    ULONG __stdcall Release() { return 1; /*one instance*/ }
    /********************* IOleWindow ***********************************************/
    HRESULT __stdcall GetWindow( HWND *phwnd ) { return phwnd?(*phwnd = this->hwnd, S_OK):E_INVALIDARG; }
    HRESULT __stdcall ContextSensitiveHelp( BOOL ) { return S_OK; }
    /********************* IOleInPlaceSite ******************************************/
    HRESULT __stdcall CanInPlaceActivate() { return S_OK; }
    HRESULT __stdcall OnInPlaceActivate() { return S_OK; }
    HRESULT __stdcall OnUIActivate() { return S_OK; }
    HRESULT __stdcall GetWindowContext( IOleInPlaceFrame **ppFrame, IOleInPlaceUIWindow **ppDoc, LPRECT lprcPosRect, LPRECT lprcClipRect, LPOLEINPLACEFRAMEINFO lpFrameInfo)
    {
        if( !(ppFrame && ppDoc && lprcPosRect && lprcClipRect && lpFrameInfo) )
            return E_INVALIDARG;
    
        *ppFrame = NULL;
        *ppDoc = NULL;
    
        GetClientRect( this->hwnd, lprcPosRect );
        GetClientRect( this->hwnd, lprcClipRect );
    
        lpFrameInfo->fMDIApp = false;
        lpFrameInfo->hwndFrame = this->hwnd;
        lpFrameInfo->haccel = 0;
        lpFrameInfo->cAccelEntries = 0;
    
        return S_OK;
    }
    HRESULT __stdcall Scroll( SIZE ) { return S_OK; }
    HRESULT __stdcall OnUIDeactivate( BOOL ) { return S_OK; }
    HRESULT __stdcall OnInPlaceDeactivate() { return S_OK; }
    HRESULT __stdcall DiscardUndoState() { return S_OK; }
    HRESULT __stdcall DeactivateAndUndo() { return S_OK; }
    HRESULT __stdcall OnPosRectChange( LPCRECT ) { return S_OK; }
    /*************************************** IOleClientSite ***************************************/
    HRESULT __stdcall SaveObject() { return S_OK; }
    HRESULT __stdcall GetMoniker( DWORD, DWORD, IMoniker **ppmk ) { return *ppmk = NULL, E_NOTIMPL; }
    HRESULT __stdcall GetContainer( IOleContainer** ppContainer ) { return *ppContainer=NULL, E_NOINTERFACE; }
    HRESULT __stdcall ShowObject() { return S_OK; }
    HRESULT __stdcall OnShowWindow( BOOL ) { return S_OK; }
    HRESULT __stdcall RequestNewObjectLayout() { return E_NOTIMPL; }
    
    // данные
    HWND hwnd;
    IWebBrowser2* webBrowser;
};

Window* window;
IOleObject* oleObject;

Непосредственно функция для создания контрола

int CreateWebBrowser1(HWND hWnd)
{
    RECT rect;
    HRESULT r;

    window = new Window;
    window->hwnd = hWnd;
    SetWindowLong(hWnd, GWL_USERDATA, (LONG)window);

    r = CoCreateInstance(CLSID_WebBrowser, NULL, CLSCTX_INPROC, IID_IOleObject, (void**)&oleObject);
    
    if(FAILED(r))
    {
        MessageBox(0, L"error", L"error", MB_OK);
        return 1;
    }

    r = oleObject->SetClientSite(dynamic_cast<IOleClientSite*>(window));
    if(FAILED(r))
    {
        MessageBox(0, L"oleObject->SetClientSite()", L"Error", MB_OK);
        return 1;
    }

    
    GetClientRect(hWnd, &rect);
    rect.left = 0;
    rect.top = 0;
    rect.right = 100;
    rect.bottom = 100;

    r = oleObject->DoVerb(OLEIVERB_INPLACEACTIVATE, NULL, dynamic_cast<IOleClientSite*>(window), 0, hWnd, &rect);
    if(FAILED(r))
    {
        MessageBox(0, L"oleObject->DoVerb()", L"Error", MB_OK);
        return 1;
    }

    
    r = oleObject->QueryInterface( IID_IWebBrowser2, (void**)&window->webBrowser);
    if(FAILED(r))
    {
        MessageBox(0, L"oleObject->QueryInterface()", L"Error", MB_OK);
        return 1;
    }
    oleObject->Release();
    window->webBrowser->put_Height(100);
    window->webBrowser->put_Width(100);
    window->webBrowser->Release();

        
    return true;
}

int StartBrowsing()
{
    HRESULT r;
    VARIANT empty;
    VariantInit(&empty);
    r = window->webBrowser->Navigate(L"http://url/", &empty,&empty,&empty,&empty);
    window->webBrowser->Release();

    return 0;
}

Всё работает. Теперь как к этому прикрутить обработку событий, таких как DocumentComplete?