There are quite a few examples of custom rules for FxCop (this was the best I found) but I was unable to find an example Visual Studio project to download. So after I got my simple rules assembly up and running, I thought I’d upload it to the web, you can grab it from here. It just contains one rule, taken from the site mentioned before, which checks for the usage of the ArrayList class.
My only advice is if you are having trouble getting your rules loaded up into FxCop then debug your assembly through Visual Studio and make sure you have set up Visual Studio to break when CLR exceptions are thrown. If any exceptions are thrown when trying to load your assembly, FxCop will catch the exception and not display the rules.