If somebody may knows a blog posting with a basic example, that would help a lot.
Google search gives me mostly links to add-in-express.com.
tia
You can check this url:
http://www.codeproject.com/KB/shell/dotnetbandobjects.aspx
it deals with making an extension for Windows Explorer but I know that for IE it works very similar.
It is the library that for example qttabbar uses:
http://qttabbar.wikidot.com/
(as I say, it can be adapted to IE).
Short answer, don't. Just don't.
Details are at Create a shell extension ...
since IE and Explorer are the same component with a different skin, you will run into the same kind of troubles.