It is a common practice in ASP.NET development to use controls provided by third parties. Such controls are usually distributed in form of an assmebly .dll files which you put into the Bin folder of your ASP.NET application. When using Visual Studio, you just add a reference to a file and the file is copied to that directory for you. What you don't get are new icons on the Toolbox representing newly added controls. You have to have to go to the Toolbox, select Choose Items... from context menu and point to the same dll file you have just used when adding a reference.
A much easier way to accomplish the same thing is to just do this second step though. By adding items to a Toolbox, Visual Studio automatically copies the required files into the Bin folder and by doing so, creates a reference to it so you don't have to.
When adding adding items to the Toolbox I usually prefer to create a separate Tab and add items there. For each group of controls I create a new Tab. The reason for this is that it is much easier to remove a whole Tab from the Toolbox than each individual item at a time. (You can also use the Choose Items... window to remove unneeded items, but I have found removing the Tab a lot easier and faster).
The third and in my opinion the best way of adding third party controls to a project is to create a separate project in the solution. In this project, for each control you want in your Toolbox, create a class and inherit it from this control. I have found that Visual Studio 2005 automatically adds to the Toolbox, controls that it finds in the Solution. An advantage of such an approach (other than that it is generally a good idea to always do so) is that now you can go and reset the Toolbox and your controls will still be there - after Visual Studio decides it is time which usually happens when switching from html/aspx view do design view.