That drove me crazy last year, but never had time to research it.
And an addition. If you are using a network share, for your URL, put
file://SERVER NAME/DIRECTORY/*
With Visual Studio .NET (including 2002, 2003 and 2005) files on a network share may give an error. This error is caused by a security setting designed to protect the machine that Visual Studio .NET is running on. This is a set of instructions on setting the network share as trusted so that you can operate without the error message.