Can you tell us what version of VS you have?
Most likely, it's VS 2010 Express.
First, you may get help installation error messages if you use the Microsoft Help Viewer 1.0 supplied with this version of VS. Please, confirm that you see something like on the attached screenshot.
Second, the express editions of VS does not provide us with a way to automate the process of toolbox tab creation. In this case you can simply create a tab for iGrid.NET manually and drag the iGrid.NET DLLs onto it to create the toolbox component icons.
Igor/10Tec attached the following image(s):