it's me,
I have just found what was wrong.
In the samples they used the assembly microsoft.exceptionmessagebox.dll and with sql server express we should use this one
Microsoft.NetEnterpriseServers.Express.ExceptionMessageBox.dll
it can be found in C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\
this is likely the same assembly cause inside they, both, include the ExceptionMessageBox Class.