I assume you have Visual Studio 2005 and MS SQL Server installed already.

The next step is to install Visual Studio 2005 Web Application Projects (WAP). In case you need it, here is a link to the support forum for WAP.

For some background on what WAP is, ScottGu describes it as,

Does your ASP.NET web site have subdomains and use forms authentication with persistent cookies? Do you host your site or blog on a shared hosting platform? If so, you can run into a problem authenticating users because of the way cookie domains work. Here are the details of the problem and steps you can take to solve or prevent the problem.