Some of you have discovered that the Visio Add-in or Add-on Wizard does not work in Visual Studio 2005. Bill Morein, a Program Manager on the Visio team, posted a great article on his blog that describes how to use the Shared Add-in Wizard to create a Visio Add-in. If you want to create an Add-on, you'll have to use Visual Studio 2003 first, then upgrade your project to Visual Studio 2005.
The COM Shim Wizard described in this article doesn't work in Visual Studio 2005 either. You can either upgrade a Visual Studio 2003 or create your own COM Shim manually if you want to codesign and isolate your Visio add-ins in Visual Studio 2005. The concepts in this article targeted for Office XP describes how to create a COM Add-in Shim project.