OCX stands for Ole Control eXtension and it's a technology used by Microsoft for calling components inside a library. The files are usually parts of specific programs built on the Visual Basic programming language.
On the other side, MP3s (Mpeg Layer-3) are audio files which have nothing to do or something related to OCX files. Beside all this, there is no converter available for this kind of job because it has no sense in developing such a tool.