Something similar is possible via the res:// protocol, but practically only when hosted by mshta.exe. Otherwise, registering a Windows Script Component from inside a dll (if possible) would give you a callable COM object. Then there's JScript.Net which provides resource/compile capabilities & stuff.
Basically, I don't know.
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I tried the createActivexObject and it worked great!
I did have to tag the .dll as "safe for scripting" and "safe for initilaization" uisng the VB package deployment wizard to avoid getting an annoying warning message when the objuect was loaded.