The most likely reason is that you don't have a webserver configured to serve your website. By default, a new web site project should be configured to start the ASP.NET Development WebServer. You should look at the project properties to ensure that is indeed the case.
It is also possible that the webserver is configured and running properly. However, (if I remember correctly) the website projects are configured to launch IE with the address of the current page you have open in the editor. If you are developing an ASP.NET MVC website, that will result in the issue above, as the MVC routing system is configured to reject explicit requests to the pages and process only requests through the proper routes to the controllers. Check your address bar and amke sure you are navigating to the root of your website to make sure it works fine.
If that is also not the problem, you should enable debugging for you website project to get additional information about the actual problem.
Two side notes:
- I would suggest upgrading the Visual Studio 2008. It's support for website porjects is way better.
- If you are doing websites, an HTTP-intercepting tool like Fiddler or HttpWatch will be very useful to debug the interaction between the browser and your website.