There might be either a different folder defined for output (you can have a folder for intermediate files like the one on your list and for compiled & related files). You can check that by right-clicking the project root in the project tree and selecting Properties. Then in the first screen (General), there is "Output Directory" and "Intermediate Directory". The former is where you want to look for the compiled dll. If it's not there and VS doesn't give you any warnings or error, then the project/solution might be broken (I haven't checked the samples for a long time as I have my own test version of them - see later). Look in the project properties for odd things, like compiling to lib instead of dll. Or just throw that sample and start from the updated one.
You can find all that stuff in my source repository on Google Code. This includes a slightly updated/reworked documentation, better SDK source files with a few new hosts methods missing from the official SDK and updated samples for VS2008. All of this is unsupported and unofficial though, so you're on your own if you decided to use the new includes and stuff (same as with the official SDK really, but more so ).
There aren't that many programmers hanging around on the Wincustomize forums (and it can get lonely for us developpers that can't do graphics to save their life). Still, feel free to ask any questions regarding Docklets. While I'm pretty busy, I'll try to help if I can. You might also want to browse the AquaSoft Objectdock forum as there is some Docklet development going on there and a few people that will be happy to either help on technical problems or test your creations.