If you are working with Visual Studio 2008, you might be looking for the Web Control Library template that used to be quite apparent in Visual Studio .NET 2003 and kind of hidden under "File - New - Project - Windows - Web Control Library" in Visual Studio 2005. Check my earlier post on this http://geekswithblogs.net/ranganh/archive/2006/09/06/90370.aspx
Well, in Visual Studio 2008, this option is under "File - New - Project - Web - ASP.NET Server Control". Yeah that is the place you you would find the template to create a Web Control Library.
Thought this was again tricky to figure out and would help if I post the details over here.
Cheers !!!