Hey cfm,
A com object is a piece of coding usually written in Visual Basic or Visuall C++ that is compiled as a .dll and registered with the system. It is basically a standalone piece of coding that is designed to be invoked externally. If you want to make a .COM object, the easiest way IMO is to use Visual Basic and create an Active X .dll. Just remember that any functions or variables that you need to call or access through CF need to be "Public".
Once compiled, you then have to register it on the server with regsvr32 which is as simple as running "regsvr32 myDll.dll" from a dos prompt.
Hope this helps,
GJ