If your library foo is a Windows ActiveX control (that is, it uses capi:ole-control-component and capi:define-ole-control-component) you may choose to specify file "foo.ocx" as the file argument to deliver. The file type defaults to "dll".
The file extension does not alter functionality - the system simply loads the file referenced in the Windows registry
LispWorks Delivery User Guide - 15 Feb 2015