How can you force VB6 to use the DLLs and OCXs from the app directory?
You may also want to try setting up Reg-Free COM for your project. There's a freeware called Unattended Make My Manifest that will do most of the work for you.
Placing component libraries in the EXE folder (with or without .local files) can be deleterious to the hygiene of target machines too.
VB6 programs will register the components here via the self-reg entrypoint behind your back if they are not previously registered. Then if the application is moved or removed you leave the user with a broken reigistration - possibly fatal to subsequently installed applications using some of the same components. This is probably fine though for application specific components, i.e. your own DLL or OCX that will never be needed by another application.
The .local trick was really not meant for use with VB6 programs and if it is used your installer needs to be aware and properly install and register the components if they are not already on the machine. It was meant as a manual hack to get around DLL version compatibility problems on individual machines, not a deployment strategy.
Move up to SxS application and assembly manifests (Reg-Free COM and more) for a better solution. DLL/COM Redirection (.local) was a good try but it has many warts.
Clay Nichol's answer about the search order is not quite correct. That search order only applies to non-COM components. I.e. only some DLLs, and not OCXs. If you register your COM objects, they will be used from the directory where they are registered regardless of what's in the local directory, unless you use reg-free COM or a .local file.
EDIT:
MakeMyManifest is well spoken of as an automatic tool for creating manifests for VB6 projects, haven't tried it myself. DirectCOM also has fans, again I haven't tried it.
EDIT The MMM website is down. I see here that the author was having trouble with their hosting and has provided another location to get Make My Manifest - download it here.
There is a semi-automatic technique to generate reg-free COM manifests. You can create the manifests with Visual Studio 2008 (you can use a free version like Visual Basic Express Edition). Then make a couple of edits by hand to make the manifests suitable for use from VB6. See this section of this MSDN article for step-by-step instructions - ignore the rest of the article which is about ClickOnce.