You can actually do this in .NET (I've done it before as a proof-of-concept), but it's a bit of work to get everything working right (process lifetime, registration, etc).
Create a new Windows application. In the Main method, call RegistrationServices.RegisterTypeForComClients- this is a managed wrapper around CoRegisterClassObject that takes care of the class factory for you. Pass it the Type of the managed ComVisible class (the one you actually want to create- .NET supplies the class factory automatically) along with RegistrationClassContext.LocalServer and RegistrationConnectionType.SingleUse. Now you have a very basic exe that can be registered as a LocalServer32 for COM activation. You'll still have to work out the lifetime of the process (implement refcounts on the managed objects with constructors/finalizers- when you hit zero, call UnregisterTypeForComClients and exit)- you can't let Main exit until all your objects are dead.
The registration isn't too bad: create a ComRegisterFunction attributed method that adds a LocalServer32 key under HKLMCLSID(yourclsidhere), whose default value is the path to your exe. Run regasm yourexe.exe /codebase /tlb, and you're good to go.
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