I think there is a bug in VS 2008 (Professional Edition). I installed it on another new machine and this time I did not install Visual Web Developer (as it was not required at all). Everything went fine with the installation and after rebooting the machine, I got the shock of my life: I could not create a Website!! The menu was simply not there under File option!
I tried using devenv /resetsettings but it did not work. The OS was exactly the same (WinXP Pro) like the other machine where 2008 worked fine. Then I asked myself, what was different in both the installations? Culprit was VWD! I added it again (using Add/Remove components from VS installer) and voila, it worked like a charm!
So I think this is a bug in VS 2008!