Check out this AU handout from AU 2005 on the AUGI site.
augi.com, it's free, log in and click education then AU handouts, 2005, customization and programming.
The AutoCAD® .NET API: The New Frontier CP33-1
There is a sample in this handout on creating a custom palette, you can add your web browser control to the palette then your user can dock it.
There is also a custom palette sample for .net in the ARX samples you can download from the Autodesk ADN site.
Good luck!