Chris Sells has written several articles on smart clients, and points out a
problem with how the CLR probes for dlls.

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/dnforms/html/wi
nforms05202002.asp

http://msdn.microsoft.com/msdnmag/issues/02/07/NetSmartClients/

To see this, download and install Fiddler
(http://www.fiddlertool.com/fiddler/) an http debug tool.  it'll show you all
http calls to and from your server.  run it then start your smart client app
and see how many http calls it makes to the IIS box that hosts the dlls.

Chris's articles demonstrate how to turn this probing off