To use this handy class, and the other Compiler COM Support Classes, in the WDK, you have to link with vccomsup.lib (not comsuppw.lib or comsuppwd.lib). Just add $(SDK_LIB_PATH)\vccomsup.lib to the TARGETLIBS in your sources file.
This results in the build giving an error:
error BLD1001 : vccomsup.lib listed explicitly - use USE_VCCOM=1
but it still successfully builds the executable. Adding USE_VCCOM=1 to the sources file has no effect, the error is still produced.