Recently someone was reading over a blog post I wrote about using BGInfo with ConfigMgr. Leverage BGInfo in WinPE - Recast Software, and they were getting the error "The code execution cannot proceed because oledlg.dll was not found..."
Quick Fix: Add HTML (WinPE-HTA) Optional Component to your Boot Media.
I pointed to the optional items you can have in your Boot Media, and sent a screenshot of the ones I have installed, which I'd recommend everyone have for OSD:
I was able to reproduce the issue by having Boot Media with without HTA Support. So there you have it. If you get that error in WinPE, make sure you have HTML (WinPE-HTA) support added.