Hi, i`ll get the same problem.
After some investigation i`ve found, that COM-server DDKDebugger.dll requires Microsoft Visual Studio 2008 Redistributable Package. So, just install redist from official site and do not check “Register debug version of DDKDebugger.dll …” in the second page of VisualDDK Setup Wizard. Debugging version of DDKDebugger.dll requires debugging version of redist, which installs only with Visual Studio 2008.
Good luck!