What solution did you download? The HAPPhone.sln solution in the latest build is similar to what the phone project should create. You cannot reference any other solutions or DLLs created because they will not compile for the phone.
Jaapjan in the comment, in fact, spoke about this, but using the term "compact framework" for WP7, being technically interchangeable, will throw most people out. Basically, you cannot use DLL.NET 4.0 in the WP7 / Silverlight / CompactFramework assembly because they do not match.
I will conclude this by saying that I have not actually used this, but if I needed it, I would use the HAPPhone solution. If the one you used and the DLLs are not working, another problem may arise.
I think you may also have been those posted to their discussion thread here: http://htmlagilitypack.codeplex.com/discussions/282469 . If so, you answered your question and could give yourself a few points; I will also answer the discussion, because I know that if someone does not beat me ...
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