I have just tried this project and it is not working. I am running Vista on a 64 bit machine. These are my observations, which maybe relevant or rubbish. I had the grey screen and cannot create ... but to me more importantly a "must register active x control first (translation from German).
I examined a lot of dlls with Dependency Walker (I learnt something you need 64bit and 32 bit dependency, they give different results on 32 bit and 64 bit programs) and it reports that all (I looked at) reported reference to IEFRAME.dll ( and othe IE **.dll) is unresolved and some mixed cpus IESHIMS.DLL. Search on net for this problem, well known.
I have experience of this type of problem. I guess you do not use these dlls, but the registration process of your dll will also see this is unresolved and fail the registration process. For a long time I could not find what was registered, all dlls in "plugins" folder do not require it, I had hopes for cssexploreradapter.unicode.dll ( a real load of errors there in dependency) but no. Eventually nothing to do with css....dll in notepad++ is a dll nppshell_01.dll. I get all sorts of errors a. wrong cpu (heard of an error in dependecy reporting this faultily) most significantly can not find gpsvc.dll. Now that is a. a dll which must be registered ( actually I dont know that but it has standard dllinstal etc) and with that error alone it will not register. Please note if this was a 32 bit vista machine it most probably will not find gp...dll and have the same problem.
Please investigate, Do I need to repeat I have been known to talk rubbish.