This is the way we do it using ATL, you can probably take a look on it.

1.
#include <ObjSafe.h>

2. Add those lines into your coclass:

BEGIN_CATEGORY_MAP(CoclassName)
IMPLEMENTED_CATEGORY(CATID_SafeForScripting)
IMPLEMENTED_CATEGORY(CATID_SafeForInitializing)
END_CATEGORY_MAP()

No more "screams" from IE.