Windows 7, IE8: Creating CAxWindow finished with Access Denied error

I have Windows 7, and Internet Explorer 8, Visual Studio 2008. I need to create Active X window which will show page from other site. I try to create CAxWindow window while IE in Protected Mode. It returns Access Denied error (5) if current site isn't trusted.

Class of new window defined as:

class CNewWnd: public CWindowImpl<CNewWnd, CAxWindow, CWinTraits<WS_CHILD | WS_BORDER, WS_EX_TOOLWINDOW>>

Create new window implemented 开发者_JAVA技巧as:

hWndContainer = Create(hParent, r);

where hParent is HWND of browser. As result hWndContainer = NULL and GetLastError() returns 5.

MSDN's article "Understanding and Working in Protected Mode Internet Explorer" describes only working with System Registry, Files and Processes - none of word about windows creating.