The example given has left out certain important additional things.
(1) The class "InspectorInserter" (as given in
type="Microsoft.WCF.Documentation.InspectorInserter, HostApplication, Version=0.0.0.0, Culture=neutral, PublicKeyToken=null"
) must extend the abstract base class "BehaviorExtensionElement".
(2) In the "ApplyClientBehavior" method in the example, the first line adds a class with name "Inspector". This class should implement the IClientMessageInspector interface.
More clear examples are available at the MSDN magazine article:
http://msdn.microsoft.com/en-us/magazine/cc163302.aspx