How to create a .Net programming language?

There is a LOLCode compiler built in C# that might be a good starting point.

http://code.google.com/p/lolcode-dot-net/

As for implementing in Visual Studio, there is an open source view engine called Spark (http://www.sparkviewengine.com/) that did some work with getting intellisense to work. The context is different, but the lesson is the same, it's hard, and it's not a very well documented process.

You'll want to take a look at the Microsoft Research Common Compiler Infrastructure (CCI) project. It provides everything you need to generate the metadata and the MSIL for an assembly. And the debugging .pdb file, rather important to get your language going.

There's a sister project, CCI Code Model and AST, that might be useful as well, depends how far along you got.