If you've installed the ThumbGrid extension (per these instructions) and the ThumbGrid component is not visible in the Components panel of Flash CS3/CS4, here are a few things to check.
If you have more than one version of Flash installed on your machine, each has its own version of Extension Manager. You need to use the Extension Manager that shipped with the version of Flash you're trying to use. For example, if using Flash CS4, you need to use Adobe Extension Manager CS4 (it has a dark interface, which makes it easy to spot). If using Flash CS3, you need to use Adobe Extension Manager CS3.
When creating a new FLA in Flash CS3/CS4 make sure you select "Flash File - ActionScript 3.0" and not the "2.0" option. ThumbGrid is an ActionScript 3 component and requires an FLA using that language. Flash will hide the component from the Components panel if you select anything other.
As a last resort, try quitting / relaunching Flash. It may have been open while you were installing the extension, and needs a restart in order to "see" the component.
If none of these points help, contact us and we'll try to assist.