You need to manually register the object to library. To do this, first download the file using Google and copy it to the System32 folder (if you have 32bit architecture) or SysWOW64 (if you have a 64bit architecture).
To register the file, follow these steps:
Click on Start > All Programs > Accessories > Command Prompt or press Windows key + R and type the following commands, depending on your Windows version:
regsvr32 C:\Windows\SysWOW64\mscomctl.ocx < for Win64
regsvr32 C:\Windows\System32\mscomctl.ocx < for Win32
You can replace the path with the path to the appropriate folder (GMS ActiveX) and add your reference in VB6.