We have created a C# windows form application that uses an ActiveX control to display video stream. Now we are planning to develop the same application in windows phone.
Is it possible to use ActiveX controls (OCX Files) in windows phone development?
No its not. You can only use Silverlight and XNA on Windows Phone.
You already have a Media content available using Silverlight that you can use to stream Video. You can find more information here:
http://msdn.microsoft.com/en-us/library/ff426928(v=VS.95).aspx
It can get as simple as something like this: