Hi,
Download the starter kit and run it, it's a .vsi file (DotNetNuke_04.08.04_StarterKit.vsi),
it will expand itself in proper directory under VS 2005 templates projects folder, for exp:
...\Documents\Visual Studio 2005\Templates\ProjectTemplates\Visual Web Developer\VisualBasic
Then run your VS (I tested it with VS 2005 with SP1 and also with VWD Express), Select:
File->New->Web Site ...
Then in the "New Web Site" window, you need to choose Visual Basic as your language
to be able to see "DotNetNuke Application Frame ... " under My Template zone in your window,
Now choose it and select a name for it and choose your location, I prefered to choose "File System"
for location with an customized name, then click on OK, it will take a few minutes, depend of your
system speed (Generally). After that, you will see the DNN page in your VS and you can build it
by Ctrl+F5, after a while you will installation page on your Internet Explorer, You should choose
AUTO mode for installation to get the result properly and it will take a few minutes to install all the
modules and prepare the SQL and ... properly to run your portal. Hope it helps, Cheers.