I've written some about this interface, and how it allows you to grab data from an HTML page and use that data inside an ActiveX control. In a nutshell, your HTML will have an OBJECT tag for the ActiveX control and - optionally - some PARAM tags inside the OBJECT tag. One thing to keep in mind is that the IPersistPropertyBag methods will only fire if you actually define at least one PARAM tag. Without a PARAM tag, the code will not execute.
The moral of the story is: if you have some kind of initialization code in your IPersistPropertyBag methods, be doubly sure that you define a PARAM tag!
Which reminds me, now that Delphi Informant is no longer in business, I'll see what I can do to get my articles published with them posted on my web site. I'll post an entry here when I can do that.