Have a look here: http://www.microsoft.com/downloads/details.aspx?FamilyID=e3b9bdf7-e4a9-4d95-bf0f-ceb0a06f19d6&DisplayLang=en
You need Project Server. Using a single copy of client-side Microsoft Project application on a server will not work and may, in fact, violate the license.
Alternatively, search Web for "microsoft project activex control", you'll find links to third party products that provide ability to display Office files including Project files on client machines.
By the way, ActiveX components are not supported on the VS 2005 toolbox, you have to type <OBJECT> element with proper CLSID manually.
Thanks
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