Yes you can Luis, you may have to change the 'using' statements slightly as it seems SharpDev reads the ref'd assemblies a little differently, this may have changed in later releases though.
Also, if the sample was built for 2006 it probably won't compile for 2005 as they changed quite a few of the wrappers (mainly for the editor and UI) and made them more complete for 2006.
If you have VS2002 you should have no trouble, this is what I use at the moment with no prob's so far.
hth