First of all - make sure you have the files installed properly and make sure you can access them properly. User access control can cause problems when using visual studio, you can solve this by right-clicking visual studio and run it as administrator.
If user access control is on and you do not run it as administrator then it will lock the folders needed by visual studio.
You can also lower the 'User access control' setting and reboot.
Then you have to make sure you have set up the path correctly in the wizard file:
Open the 3ds MaxPluginWizard. vsz file (in the
maxsdk\Howto\3dsmaxPluginWizard directory root) in a text editor and
edit the ABSOLUTE PATH parameter to reflect the new location of the
3dsmaxPluginWizard root directory. Do not add a backslash after the
directory name.
Param="ABSOLUTE_PATH = [Absolute Path Location of 3dsmaxPluginWizard Root Directory]"
Copy the following files from the 3dsmaxPluginWizard root to the
'VC\vcprojects' directory under your Visual Studio installation
directory (e.g. C:\Program Files\Microsoft Visual Studio
2010\VC\vcprojects):
3dsmaxPluginWizard.ico
3dsmaxPluginWizard.vsdir
3dsmaxPluginWizard.vsz
By installing the SDK to it's default location, and editing the file path, and then making sure you can access the folders properly it should work.
I've done it like this for many releases by now.