i didn't tried that, since i'm trying to install a control into VS.NET IDE Toolbox and i don't have access to the control, only to the .dll file. But instead i figured what i was doing wrong, or what it might be an IDE Bug, since i was using an example from MS.
Anyway, only had to replace this:
Dim DevEnv As DTE = New DTEClass()
by this (VS.NET 2002):
Dim t As System.Type = System.Type.GetTypeFromProgID("VisualStudio.DTE.7")
Dim obj As Object = System.Activator.CreateInstance(t, True)
Dim DevEnv As EnvDTE.DTE = CType(obj, EnvDTE.DTE)
or by this (VS.NET 2003):
Dim t As System.Type = System.Type.GetTypeFromProgID("VisualStudio.DTE.7.1")
Dim obj As Object = System.Activator.CreateInstance(t, True)
Dim DevEnv As EnvDTE.DTE = CType(obj, EnvDTE.DTE)