I could solve the problem. My fault was that I had not unblocked the zip file containing the dll. After this I have to change the source for the namespace in the Markup to an uri. Below the final markup:
<Window x:Class="MainWindow"
xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
xmlns:WpfToolkit="http://schemas.xceed.com/wpf/xaml/toolkit"
Title="MainWindow" Height="350" Width="525">
<Grid>
<WpfToolkit:PropertyGrid Name="Grid" />
</Grid>
</Window>