Chairy:
if the Inventor SDK was installed OK you should have an Inventor Wizard tool bar in Visual C++. From there (actual, also from the the menu as you describe) select "NEW ATL Object". You should see, at the bottom, a new ATL Object category "inventor". Selecting this category will display a single "Inventor Events Object". Select this object and a three tab configuration notebook will pop-up. "names", "Inventor Events", and "attributes".
As I understand it, you will need to create two separate ATL Inventor event classes, one for "InteractionEventsSink" and one for "SelectEventsSink".
Now the fun starts, how do you use them? The examples given are coded differently, not using the ATL wizard, but the "EventsAddIn" sample under the Inventor 7 -SDK - VC++ directory should give you an idea on how to link up all of the ATL objects. The documentation S*@KS and isn't much help and AutoDesk wants $$$ to even talk about (a possible) bug with I 7!
Good Luck (as I couldn't get it to work!)