There is no custom DLL in the project bin, I can confirm that I have now tried:
public VNCustomSearchIndexModule() : base("customSearchModuleForMyWebsite", false) { }
This file is currently located in the root project at ~/App_Code/CMSmodules/NameOfMyClass.cs
Do I need to perform anything within the CMS, I have not done anything in the CMS as I was just hoping to hook into the events when the Search Index was/is generating.