Ensure the project is set to use the .NET 3.5 framework (mine defaulted to 4.0). If this is not done correctly, then your plugin will be ignored by Paint.NET.
And that's pretty much the compile and test (or installation) cycle covered. Debugging is another matter. I'm not sure its possible with Visual Studio Express, but I think it is with the full version. I had to make do with custom message boxes, but it could be worse! :-)