How to add a UserControl(.cls) in progress window (.w).

You cannot add a .Net based user control directly into an OpenEdge ABL based window.  You CAN embed a .NET based window into an ABL window).  So you can add your user control to a .net window, and then embed the .net window inside the .w window.  Check the documentation on how to do this.

http://communities.progress.com/pcom/docs/DOC-101562