Well, you've said that you've checked that you've got the reference
correct. Have you got the namespace in your code as well, as the error
message suggested that you checked?

Could you post a short but complete program which demonstrates the
problem?

See http://www.pobox.com/~skeet/csharp/complete.html for details of
what I mean by that.

Here's a short but complete program which *does* work:

using System.Windows.Forms;

class Test
{
   static void Main(string[] args)
   {
       ColorDialog dialog = new ColorDialog();        
       dialog.ShowDialog();
   }
}