Cannot call COM object created from STAThread from oher STA threads

You explicitly ask COM to create instance for main thread, then you pass this to another thread. Of course in some circumstance it is allowed (for example declare MyCalcServer as multithread).

But in your case it looks you need create proxy for another thread. In regular COM clients it is done by CoMarshalInterThreadInterfaceInStream. There is large article to clarify it http://www.codeproject.com/KB/COM/cominterop.aspx

I managed to get this resolve.

As I'm new to COM, I don't know much about Proxy/Stub and that they're needed for marshaling stuffs between STA and STA. After created a new ATL project and make sure I have "Merge Proxy/Stub" ticked. The problem vanished.

I find the info from this page useful: Why would I want to merge Proxy/Stub code with my DLL project.

Proxy/stubs providing standard marshaling for your component. In many cases a DLL-based component may not need proxy/stub because it is running in the same context of its client, and this option may seem useless at first. However, COM uses the marshaling process to synchronize access to a component in multi-threaded situations. So, a DLL-based component will need a proxy/stub DLL in at least two cases:

• It's running a multi-threaded client and needs to pass interface pointer between apartments (STA to STA or MTA to STA).

• DCOM can provide a surrogate process for a DLL-based component so that it can be accessed in a distributed environment. In this case a proxy/stub is needed to marshal between machines.

By merging the proxy/stub code with your implementation, you don't have to distribute two DLLs, just the one.

I will mark @Dewfy's answer as accept as he has shed some light on the Proxy topic.