COM object created in wrong process?

I'm trying to set up two-way communication between a DLL (a COM addin
running in Word) and an MFC exe of my own. The book I'm studying (ATL
Internals by Taveres, et. al.) said a connection point is inefficient
and overkill for my needs, so I'm trying the suggested simpler approach:
  DLL creates a COM object in EXE, then EXE creates a COM object in the
DLL. That way they can each make calls to the other, I hope.

The first half works fine, I can create a COM object in the EXE from the
DLL and make calls to it that work in the EXE process.

But when the EXE creates a COM object defined by the DLL the creation
succeeds (using CComPtr::CoCreateInstance) but the new object is in the
EXE process (!). I can actually step into a call to this new object,
executing in the context of the EXE. Since it's in the wrong process
this new object has no access to the data and methods in the DLL.

What's happening? Should I give up on this approach and use a
connection point in the EXE?

--
Scott McPhillips [MVP VC++]