If you want to develop CRM 4.0 Plugings, there's a tool called "Plugin Registration Tool 2.0" which can help you a lot when you want to register it into CRM Server. So, PluginRegistration tool is an enhanced version of the tool that is published within Microsoft Dynamics CRM 4.0 SDK.

You can download "PluginRegistration tool " from:

http://code.msdn.microsoft.com/crmplugin

Also, there are sample plugings you can download from:

http://code.msdn.microsoft.com/crmpluginsamples

So!, when you download it, what you get is the full source-code Visual Studio project for this tool (so you could investigate how it is done, consuming CRM Web-services, etc.). But if you just want to use it, open the project with Visual Studio (I migrated it to Visual Studio 2008 :-) ), compile it, and run it!.