#include "msxml2.h"
#import "msxml4.dll"
using namespace MSXML2;
#include "initguid.h"


int main(int argc, char* argv[])
{
    CoInitialize( NULL );
   IClassFactory* pCF;
   char szProgID[128] = "Msxml2.DOMDocument.4.0";
   WCHAR szWideProgID[128];
   CLSID clsid;
   long lLen = MultiByteToWideChar( CP_ACP, 0, szProgID, strlen(szProgID), szWideProgID, sizeof(szWideProgID));

   HRESULT hr = CLSIDFromProgID(szWideProgID, &clsid);

   hr = CoGetClassObject( clsid,
   CLSCTX_INPROC, NULL,
   IID_IClassFactory, (void**) &pCF ) ;

   IUnknown* pUnk;
   hr = pCF->CreateInstance( NULL, IID_IUnknown, (void**) &pUnk );

   pCF->Release() ;
   CoUninitialize();
   return 0;
}

K>#include "msxml2.h"
[/code]
Зачем это при наличии #import?
[code]
K>#import "msxml4.dll"
K>using namespace MSXML2;
K>#include "initguid.h"
[/code]
Этот инклюд ставят перед #include <msxml2.h>. Тут он уже абсолютно бесполезен.

[code]
K>int main(int argc, char* argv[])
K>{
K>    CoInitialize( NULL );
K>   IClassFactory* pCF;
K>   char szProgID[128] = "Msxml2.DOMDocument.4.0";
K>   WCHAR szWideProgID[128];
K>   CLSID clsid;
K>   long lLen = MultiByteToWideChar( CP_ACP, 0, szProgID, strlen(szProgID), szWideProgID, sizeof(szWideProgID));

K>   HRESULT hr = CLSIDFromProgID(szWideProgID, &clsid);

K>>>#import "msxml4.dll"
K>>>using namespace MSXML2;
K>>>#include "initguid.h"
L>>

#import "msxml4.dll" no_namespace // 1

int main(int argc, char* argv[])
{
    CoInitialize( NULL ); // 2
    {
       IXMLDOMDocumentPtr dom(__uuidof(XMLDOMDocument)); // 3
    }
    CoUninitialize();
    return 0;
}