Will The dependency files (.DLL and .OCX ) be included automatically during the build.
No, they are not included.
If not, how do you add them.
Look at the .DEP file generated by VB, it contains the list of dependencies to include with your application, and where to install them (refer to the documentation of VB for the meaning of the directory macros). You have to include at least the V6 runtime DLL, install it to the Windows system directory and register it (with the Register OCX/DLL option of IC). You may have to include other DLL/OCX files if you use ActiveX controls in your application, or if you access databases.
If you are not sure of what to do I would recommend you to use a package that automatically includes dependencies, that would be easier for you.