Daniel,
The wizards in the article you are referring to are a fundementally different technology than the web designer. The custom wizards use WPF for the UI whereas the wizards for the web designer use HTML/AJAX. The custom wizard in the article should work in both Visual Studio and Visio.
While I suspect it is possible to create wizards for the web designer, I haven't seen anything published that tells how to do it. A good understanding of AJAX is probably needed.
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