Here is a code snippet

#include "stdafx.h"
#include <tchar.h>
#include <windows.h>
#include <dshow.h>
#include <ExDisp.h>
int _tmain(int argc, _TCHAR* argv[])
{
    CoInitialize(NULL);
    HRESULT hr = S_OK;
    DWORD err = 0;

    // Try to create graph builder
    IGraphBuilder* pGraph = 0;
    hr = CoCreateInstance(CLSID_FilterGraph, NULL,
    CLSCTX_INPROC_SERVER, IID_IGraphBuilder, (void**)&pGraph );
    err = GetLastError();

    // Here, hr is E_ACCESSDENIED
    // err is 5 (ERROR_ACCESS_DENIED)
    // Try to create capture graph builder (succeeds)
    ICaptureGraphBuilder2* pBuild = 0;
    hr = CoCreateInstance(CLSID_CaptureGraphBuilder2, NULL, CLSCTX_INPROC_SERVER, IID_ICaptureGraphBuilder2, (void **)&pBuild );
    err = GetLastError();

    // Here, hr is S_OK
    // err is 0 (ERROR_SUCCESS)
    // Try to create IWebBrowser (succeeds)
    IWebBrowser2* pBrowser = 0;
    hr = CoCreateInstance (CLSID_InternetExplorer, NULL, CLSCTX_LOCAL_SERVER, IID_IWebBrowser2, (LPVOID *)&pBrowser);

    err = GetLastError();

    // Here, hr is S_OK
    // err is 0 (ERROR_SUCCESS)
    return 0;
}

I'm trying to create IFilterGraph, which fails with E_ACCESSDENIED. On the other hand, creating other directshow objects works ok. The same with some other COM objects (tried with IWebBrowser2 as an example). Any idea what can be the problem? Thanks!