One or two people are coming across this gotcha, so I thought I'd post.
In order for the Domain Specific Language Designer wizard to work, you have to run it from a regular version of Visual Studio, not the VSIP "Exp" version.
If you use the "Exp" version you'll get an error along the lines of "Class not registered. Looking for an object with CLSID: {3E55345B…00A1}."
Some background - when you install VSIP, it creates an experimental or "Exp" registry section and a bunch of shortcuts to run Visual Studio using this experimental registry.  This allows you to test your new VSIP packages in a somewhat sandboxed environment without destroying your basic development environment when things go wrong - it’s a very neat system.
However, these new shortcuts are actually rather more prominent on the desktop and start menu than Visual Studio's normal shortcut, so its very easy to launch one of them without realising what you're doing - especially if you are new to VSIP as many people who are downloading our DSL Tools are.