The projectaggregator.dll must be dropped into the C:\Program Files\Microsoft Visual Studio 8\Common7\IDE directory, if it doesn't exist then the end user will not be able to open projects in Visual Studio 2005 that are associated with your Package.
Microsoft provide an installer ProjectAggregator.msi which does this work for you.
The problem with this is you either tell all your clients to run the projectaggregator.msi themselves after or before installing your Package or else you include the installation of it in your own installer.
The second option is of course the right one, as who would expect customers to run more than one installer. To include this in your installer however you need to create what is known as a BootStrapper project. The Bootstrapper is another installer that wraps the installer you actually wish to run. The idea is you include the Prequisites in the BootStrapper, they get installed first and then the main installer runs.
The Bootstrapper is created in the form of a setup.exe and has it's own installation dialogs. My recommendation is to use this as infrequently as possible. The scenario to include them in your projects is fraught with danger.