The Microsoft Technology Center in Germany developed a managed wrapper for COM Interfaces of IE Plugins. It works with IE7 and IE8, is targeted at Express Editions (Both C# and VB.NET) but also works with the other versions of VS.

The project is called SpicIE and can be downloaded here

SpicIE is designed for simplicity. The initial creation of an Internet Explorer plugin with SpicIE takes only minutes until you have a runnable, debuggable code base which you can extend with your own functionality. There are lots of scenarios where browser plugins could be useful. SpicIE lets you develop your own browser functionality comfortable with minimal technical efforts.

With SpicIE you can develop your own:

IE browsing event handlers

IE toolbar buttons

IE menu entries

IE context menu entries

IE explorer bars

IE toolbars.

SpicIE plugins can be executed by .NET 2.0, .NET 3.0, .NET 3.5.

SpicIE is open source and published under MICROSOFT PUBLIC LICENSE (Ms-PL).