The Add-in/Add-on wizards that shipped with the Visio 2003 SDK are designed for Visual Studio 2003. They don’t work with Visual Studio 2005. You can still easily create Visio COM add-ins in VS2005 with just a couple extra steps by using the Shared Add-in Wizard:
If you want to create a Visio Add-on (DLL or EXE), the best method of doing so right now is to create a project in Visual Studio 2003 and then open it in Visual Studio 2005 – you will be given the chance to upgrade the project.