Ah, I haven't had a problem. I just didn't try it because the product pages on the web site don't say it's compatible with VS2005. The other products (e.g. SandDock) explicitly mention VS2005 support.
See here: http://www.divil.co.uk/net/controls/wizardframework/features.aspx
Check the "Supported Development Environments" listing. Maybe VS2005 should be added to that list? It's a bit misleading as it stands...
Anyway, thanks for confirming that it should work. I'll try it tonight. :)