I had problems out of the box too. Had to take some of the compiled dlls from his blog and replace them. Didn't have time to find out the true problem area though.
I did notice he's using a WB to render. It's pretty fast on my box (only ~2x more CPU taxing than running Chrome stand alone) That may be optimized some by using D3DImage instead (but ups the complexity ~10x).
Very cool stuff. I hope the IE team will eventually give us low level hooks like this. Airspace restrictions are atrocious no matter what smoke and mirrors you do to make them look a part of your UI.
-Jer