Mmjack,
What did you mean by "Copy into that box"? Basically, the authenticator code that's generated in the Authenticator program, must be copied FROM the box, and pasted into CDarkGDK's constructor argument, or passed in as an argument to the InitDarkGDK function.
If you have done this correctly, can you also ensure that you have DISABLED 'VSHost' under your Debug options. Having this option enabled for either Release or Debug configuration will stop DarkGDK.NET from initialising correctly.
Bar the above advice, please post an exact description of what you're doing.
Paul.