In the features the Demo says:

UltraVNC NTLM Windows authentication mode support.

When I try to connect to one of my clients using the demo I get an error saying that NTLM is only available in the enterprise version of Smartcode VNC Manager.  Does the ActiveX control support NTLM?  I would like to add this control to a helpdesk program I am writing but I absolutely need it to connect to UltraVNC NTLM Auth based servers.

Hi,
the web demo doesn't expose all features supported by the control. UltraVNC NTLM authentication is one of them. The ActiveX does support UltraVNC NTLM authentication, UltraVNC file-transfer, chat and Repeater proxy. You can download a trial version and check it yourself.

Should you have any questions regarding the control API, which is described in a help file, please contact our support and we will help you.

I did download the demo and when I launch the HTML example to connect to one of the clients on the network i receive the the trial splashscreen asking me to enter a license key.  I hit Trial since I do not have a license.  I then connect to a server that supports NTLM and receive the following error:

VNC server you are trying to connect is using Windows based authentication. Windows based authentication is supported by SmartCode VNC Manager Enterprise edition only.

Would I need to add the control to my own HTML page or should the HTML Example provided work?

You should modify the HTML sample a bit.
There is a property ISmartCodeVNCViewer::LoginType. By default it set to 0 (ViewerLoginType::VLT_VNC). You should set it to 1 (ViewerLoginType::VLT_MSWIN).
After that you should be able to loin using UltraVNC NTLM authentication.