I had the exact issue you are having...I spent a couple of days trying to get the StarterKit for 4.3.6 installed into Visual Web Developer 2005 Express.  I was using the Cassini server that loads w/ VWD 2005 Express (instead of IIS).  After another thread on the forum suggested adding

<add key="UsePortNumber" value="True" />

to the web.config...it finally loaded and installed.  When the page went to open, DNN was up and running w/ that red triangle and the message you describe. (w/o that entry in the web.config file, you will get the dreaded "Page cannot be displayed..." error)

What I did was go ahead and login as "admin".  The page looked fine when it reloaded from the login.  I then simply logged out...and the page refreshed WITHOUT the error message this time.  Don't know why it is...but it worked.

I thought the issue was correctable by simply adding this:

<add key="UsePortNumber" value="True" />

to the web.config.  When I did this it worked...the page did load at the random port used by Cassini but there was that one error message sitting at the top of the page - yet all the other modules appeared OK.  Logging in and then back out seemed to clear the error. Should you really have to directly make changes to the portalalias table?  Just curious.