This kind of bit me in the bud for a while here at home, so I thought I would throw this out in case any others are having the same problem. The symptom was even though I had a setup method decorded with the "SetUp" NUnit attribute, the method wasn't being executed by TestDriven.NET.
Luckily, I don't believe this is an issue with TestDriven.NET as it as an unfortunate side effect with the new C# class templates in VS2005. By default, when you create a new class in VS2005 (at least for me), the class is simply declared as "class MyClass" rather than "public class MyClass". That is what is causing the failure. Once you change the scope of the class to be public, TestDriven.NET will now start running the Setup method as expected.
When you think about it the behavior makes sense. But it is frustrating nonetheless :).