First off, I'd suggest that you move your control loading code to the Page Init or the Page PreRender method instead of the Page Load method, like this:

 protected void Page_Init(object sender, EventArgs e)
    {        
      controls_Exampletry myControl = (controls_Exampletry)Page.LoadControl("controls/Exampletry.ascx");  //Loading hte WebUserControl into am object called mycontrol
      myControl.ID =  "MyControl1"; //Seting and ID for this object

      HtmlTable StepsTable = new HtmlTable();
      HtmlTableRow stepRow = new HtmlTableRow();      //This is a dynamic Row
      HtmlTableCell stepCell = new HtmlTableCell();        //This is a dynamic Cell

      AjaxControlToolkit.CollapsiblePanelExtender cpe1 = new AjaxControlToolkit.CollapsiblePanelExtender();    //creating the Collapsible Panel from server side and give it an instance or object
      stepCell.Controls.Add(myControl);

      stepCell.Controls.Add(cpe1);

      cpe1.ID = "CollapsiblePanelExtender";   // giving an ID to the Collapsible Panel
      cpe1.TargetControlID = myControl.StepPanel.ID;
                     //If the above line gives a problem, then try saying stepCell.FindControl(myControl.ID).ID

      stepRow.Cells.Add(stepCell);
      StepsTable.Rows.Add(stepRow);      //I have a table with ID=StepsTable that will received this adding of the row
    }

Lastly, in your case there are many complications like dynamically adding extenders (not just controls), dynamically adding user controls, trying to ask the extender to access a control inside the user control and many other things. So, I'm not sure whether the above code would still start working from the word go. So, you can keep posting your responses here, if things don't work.