A quick clarification with respect to Clark's suggestions on how to set up tagging with .Net assemblies. Unless you are actually writing managed C++, when you create the extension specific tag file, you probably want to create it for the languague you are using the assemblies in (C# or VB, for example).
From your original post, however, I get the impression that you are having trouble with building, not tagging, because it isn't finding the assemblies, is this correct?
What kind of a project are you using? A Visual Studio workspace, or a SlickEdit .NET SDK project, or your own custom thing? If it is the latter, you can add the search paths to the build command by fine tuning what you find on Project > Project Properties, "Tools" tab, select "Build".