Hans,
Open the .VS2008.vbproj file in Notepad and go down the the botttom of the file. Look for the line
<IISUrl>http://localhost/Dotnetnuke_2/DesktopModules/AuthenticationServices/ActiveDirectory</IISUrl>
and the line
<IISAppRootUrl>http://localhost/Dotnetnuke_2</IISAppRootUrl>
. Change Dotnetnuke_2 to match the url of your development site. Then close and save the file.
Also open the DNNModule.targets file in Notepad and change
<EnableDeployment>1</EnableDeployment>
to
<EnableDeployment>0</EnableDeployment>
. That will stop it from building an install/source package every time you build the project.
Then launch the project by double clicking on the .vs2008.sln file or by opening it through VS2008. Go to the Properties of the project and click on the Web tab. Make sure the URLs are correct. If you want to launch the website out of VS2008 (which works better than attaching to it when you're working with an authentication provider) you'll have to click on the radio button "Start URL" and type in the URL for your development site.
That should do it I think. Let me know if you run into any problems.