To test, I just added a new language through the SlickEdit Language Manager (SlickEdit Preferences > Languages > Language Manager), and added a new lexer and language mode. Then I defined some keywords in the Color Coding dialog for the language, and it all seemed to work.
The first thing to check would be to make sure that you've told Eclipse to open these types of files with the SlickEdit editor. Have you done this? If not, go to Window > Preferences > General > Editors > File Associations and add the new extension. Then highlight the newly added extension in the list and down by the 'Associated Editors' pane click the Add... button. Use this dialog to set SlickEdit as the default editor for these files.
If that wasn't your problem, could you post the .vlx file here along with the lexer module so I can take a look? I'm not sure what the problem could be off the top of my head...it should be working.
Also, what version of the plug-in are you using? I'm assuming it's Core 3.4.0 because you said Eclipse 3.4, but I have to check. What OS are you on?
Thanks,
Ryan