If you use these, you need to deploy the library manually with your application. That is, an up-to-date .Net 3.5+ machine will not have the library available globally, and Visual Studio will not mark this DLL to be copied into your output folder.
I haven't checked to see whether the VS Installer project will determine the dependency and include it -- I'm guessing it will. But if you are doing xcopy deploy, or just testing, you will need to bring this library along.
There is also an earlier version of this same library, that shipped on VS2008 but will not work (it is missing some components that were added to the namespace later). So if you need to build against the current version (e.g. if you are working on code that uses the shape components), make sure you update to VS2008 SP1, which updates this library.