Good news! After several days of head scratching, reading DNN forums and a bit of Google time, I finally got a clean compile and run of the beta Events module source code under VS2005. 
(I'm running WinXP Pro, VS2005 with VB.net version 77626-009-0000007-41607, SQL Server 2005, DNN 4.02)
Unfortunately I'm not sure which of the many things I tried were key to getting there but I will, as promised, share a few items that I know were helpful:
Installation of Events 3.02 module for VS2005: Use the install version of the Events module first. Do a regular "upload module" using the DNN interface and verify that the new Events module works. Once you're sure it's ok, drop the unzipped source code on top of your current Events directory in the DNN folder: \WebSite\DesktopModules\Events
Modifications to the project:
(1) Before opening the Events project in Studio, remove the web project reference from the Events solution file. Web projects are no longer supported in VS2005 (or so my shiny new copy of Studio tells me). In file "DotNetNuke.Events.sln", remove the reference to http://localhost/DNN32Debug/DotNetNuke.vbproj. Just delete the whole block containing that reference starting from "Project..." to "EndProject". In my file it was the very first project reference.
(2) The current version of source contains bad HTML in the file "EditEvents.ascx". Look at the end of the file and you'll see orphaned HTML code. Fortunately much of it does not do anything and can be removed. You'll have to do a good bit of eyeballing to make sure you've got closing tags in the right spots. I fould it useful to collapse all the table rows I could -- this made it easy to spot the bad tags.
Also, VS2005 does not like tables contained within paragraph (<p>...</p>) tags. You can safely get rid of the very first <P> tag before the first <TABLE> tag. My source did not have a matching closing </P> tag anyway.
(3) Next comes more effort to please VS2005: per XHTML specs, HTML tags should not contain any uppercase letters (again, this is what Studio tells me). I used find..replace to convert upper to lower case for each of the offending HTML tags in the file (tedious but effective). The VS2005 error page is your friend for tracking these tags down. If you don't have an error page to refer to just select the menu option BUILD->BUILD SOLUTION (also done with CONTROL-SHIFT-B). Now you should have plenty of errors to play with (thank me later). Start correcting tags...
These steps should get you most, if not all, of the way there. Hopefully future DNN source will be a little more "VS2005-friendly".
A final item of note that caught my attention is a post from ErikVB regarding an apparent change in VB.Net between two minor releases and the issue it could cause. My copy of VS2005 includes an older "good" VB.net version so I can't verify if this will be an issue with newer VB.net releases. See Erik's post here: http://dotnetnuke.com/Community/ForumsDotNetNuke/tabid/795/forumid/111/threadid/34499/scope/posts/Default.aspx
-mamlin