I don't quite understand what you said, but mswinsock.ocx should live in exactly one place, and one place only. The readme.txt file tells you exactly what to do with it:

Copy the file to the WINDOWS\SYSTEM folder on
Win 95/98, or copy it to the WINNT\SYSTEM32 folder on
Windows 2000 or XP. If you've already got the file, don't
overwrite it with this version, use the one you've got.

It's important you follow those instructions exactly to the letter.