I'm looking for an .ocx control (for Visual Basic) that would convert
a PDF, MS Word or HTML files into a .jpg file.  A command line
program, that I could call from a program, would also work.  Thank
you.

What's the goal? Thumbnails? see if this helps
http://www.codeproject.com/dotnet/pdfthumbnail.asp Also I hear that
http://studio.imagemagick.org/ has an API that may do what you're
asking, but it's not .ocx... (it's OpenSource)

a way that might work within vb is;
Launch file with default application - using Shell API.
use Sendkeys command to send the ALT + printscreen keys which will
copy the current screen to the clipboard.
Use clipboard ojbect in VB to write binary clipboard to a file.

The only problem with this is if the documents go off screen, if they
are more than 1 page in length the screen capture wont grab it all.