It is a .NET version issue. For EG 4.1, you must use .NET 1.1. Unfortunately you cannot target .NET 1.1 with VS2008 or VS2005, even the express editions. You need VS2003, which does not have a free express edition.
Our next release supports .NET 2.0, and you can use .NET 2.0, 3.0, and 3.5 to create custom tasks.