Visual Studio is great. There are some really nice new features, one of them isn't the Web Application deployment. Especially if you have a site that was built using the 2003 way of doing things - i.e Single dll deployment.
Fortunately there is an answer. You can either download SP1 of VS2005 which has an option to use Web Application Project or install the WAP plugin.
Description of WAP
Visual Studio SP1
Scott Guthries Tutorial's