If you use the latest build of the control and the AutoFilterManager add-on, you have the builds designated for usage with .NET Framework 4.0 or higher. VS2005 is used together with .NET 2.0, but it should not support higher versions. That's why you cannot add AutoFilterManager to the Toolbox.
As for your problems with VS2010, are you trying to use the component for a project with the target framework set to .NET 2.0?