Automatically adding Silverlight controls to the toolbox is not well supported for VS2008 yet (I hope Microsoft improve that in the future). That is why our Visual Studio Extensions does not add Silverlight controls to the toolbox.
To add them manually, right click your toolbox, select Choose Items... and pick the Telerik assemblies. Check this help article
Regarding the second problem - "Configure Telerik Silverlight Application" appears to do nothing at all. - We have tried to reproduce the issue in a number of local test projects without much success. Could you please send us a project reproducing the problem (in a support ticket)?
The third problem turned out to be a bug with the bubble. I have logged it and we will fix it shortly.
the Telerik team