It seems, that there is a problem with the WSE 3.0 Add-In for Visual Studio, installed on my Windows XP German Edition.
After installing WSE 3.0 with "Visual Studio Developer" option, the "WSESettingsVS3.Addin" was placed into "\Dokumente und Einstellungen\All Users\Anwendungsdaten\Microsoft\MSEnvShared\Addins" where it could not be found by Visual Studio 2005.
After copying it to "\Dokumente und Einstellungen\[CurrentUser]\Anwendungsdaten\Microsoft\MSEnvShared\Addins" everything worked fine.