Are your projects configured to generate the XML documentation? Just because you add the comments to the source code, the compiler won't generate the .xml file unless it's told to.
In the project properties page, go to the "Build" tab and look at the "Output" section. You should see a checkbox entry titled "XML documentation file". If textbox following that checkbox is empty you aren't generating the XML documentation file.
Once you get the XML documentation file generated, you should see your comments in the IntelliSense tooltips. If you include references to other projects as a project reference this should happen automatically. If you include references to assemblies, you need to ensure that the xml file is in the same location as the referenced assembly. (When you build, you should get xml files for all of the assemblies that have them in the bin/debug or bin/release folder respectively.)
For the .NET Framework assemblies themselves, the corresponding xml documentation files are installed as part of the Framework. For .NET 2.0, 3.0, or 3.5 the documentation files are located at C:\Windows\Microsoft.NET\Framework\v2.0.50727\en (assuming a default installation of the Framework). These files are used by both the IntelliSense tooltips and the "Go to Definition" functionality in Visual Studio in order to display this information. There is not any special processing that takes place or macros run in order to make this happen. The only information Visual Studio most likely uses is a combination of registry keys to determine the correct path to the documentation files.
While you probably could locate the xml documentation files for your own assemblies in the same folder, I would recommend against doing so as you then pollute the Framework installation with non-Framework related files.