This video tells the story of someone who created an Excel 2003 workbook project in Visual Studio 2008.  No matter what configuration he tried on the client machine, he got this error when opening the workbook:

The assembly could not be found or could not be loaded.

Here's the setup:
Windows XP Professional
PIAs for Office 2003 are installed
VSTO version 3 runtime is installed
The .NET 2.0 configuration tool shows the assembly is trusted
CASPOL.exe shows the assembly is trusted

Fortunately, the story has a happy ending.

Resources:

Forum post: The assembly * could not be found at or could not be loaded

Visual Studio Tools for Office Second Edition Runtime

How to: Install the Visual Studio Tools for Office Runtime

Video duration: 1 minute, 36 seconds