VB Express 2005 is a lot more recent and up-to-date than VB 6. I recommend going with it. VB 6 doesn't use .NET - it uses a different API which is nowhere near as good.
Microsoft's official "guide" to creating IE extensions is at
http://msdn.microsoft.com//workshop/...extensions.asp... though I'm not sure it applies to IE 7. I couldn't find any info on coding an IE extension in .NET.