Silverlight controls are not added to the Toolbox automatically due to a limitation of VS 2008. Microsoft says this will be fixed with VS2010. For now you have to add them manually as shown here
Another thing is that if you have installed SL2 and then just changed .dll's in the binaries folder of the installation most of the projects and demos won't compile at all as we still have not adapted our demos for Sl3 and that is why we distribute only the binaries for SL3. Another hint is that if you have added manually our controls to the toolbox but for SL2 dlls, you won't be able to use the controls from VS toolbox for SL3 assemblies , you have to do the same adding to the toolbox for SL3 assemblies as well.
the Telerik team