Dave,
Can I suggest that if you’re doing a lot of work in external assemblies, then maybe BizTalk isn’t the correct integration platform for your particular problem. It sort of defeats the point of BizTalk if you’re simply using the orchestration engine to call out of external assemblies, thereby losing all of the great Enterprise-y features.
If you can elaborate on why you need to do this (i.e. are you building Crystal Reports for example via their .Net API) and we may be able to offer alternatives, however I would second Gregs comment and suggest that you may need to use BizTalk to simply notify a secondary applcation (maybe a Windows Service) that reports are ready to be created, or create a custom adapter that will generate the reports as messages go through BizTalk (my current client has a similar solution where we generate PDF reports based on the message passing through the adapter).
More questions than answers I’m afraid, but possibly some food for thought.
Nick.