Many years ago, I wrote, "Do not write in-process shell extensions in managed code." Since I originally wrote that article, version 4 of the .NET Framework was released, and one of the features of that version is that it supports in-process side-by-side runtimes. Does that mean that it's now okay to write shell extensions in managed code?
The answer is still no.
The Guidance for implementing in-process extensions has been revised, and it continues the recommendation against writing shell extensions and Internet Explorer extensions (and other types of in-process extensions) in managed code, even if you're using version 4 or higher.
Although version 4 addresses the side-by-side issue, it is still the case that the .NET Framework is a high-impact runtime, and that there are various part of COM interop in the .NET Framework that are not suitable for use in an extension model designed around native code.
Note that managed code remains acceptable for out-of-process extensions.