Maybe a reference problem...? Are you linking to the right versions of the managed libraries?
Also, it sounds unlikely that this is the cause of your issue, but there seems to be a problem using the references in the installation directory, if you have multiple versions of Autocad installed on your development machine. For example, if you have both Autocad 2007 and Autocad 2008 on your machine, and you reference the managed libraries in the Autocad 2007 install directory, your code will not run on any machine that has only Autocad 2007 installed on it. However, if you link to the managed libraries in the ObjectARX 2007 SDK, everything is fine. This issue still exists with the 2008 and 2009 releases. I haven't tried doing anything with 2006, but I'm assuming you see the issue there, too.