Creating toolwindows in Visual Studio .NET 2002/2003 was incredibly difficult because you needed an ActiveX “shim” control to host a .NET (managed) usercontrol. Visual Studio 2005 simplified this a lot using the CreateToolWindow2 function, that doesn’t need the shim control. I have updated completely this article of January 2006 to remove “support” for VS.NET 2002/2003 and instead include a full sample code for VS 2005 and higher (in C# /  VB.NET). Don’t miss the related articles at the end of it (I will add a few ones in the next weeks for stuff related to toolwindows):

HOWTO: Create a dockable toolwindow from a Visual Studio .NET add-in
http://www.mztools.com/articles/2006/MZ2006007.aspx