Maybe you misunderstood how it's supposed to work? As mentioned in the book a couple of times, all projects are Web Site Projects, not Web Application Projects. So, there are no solution files. Simply choose File | Open Web Site.
From the back cover of the book:
"This book is for intermediate-level programmers with some .NET experience..."
So, not every little detail is explained in full. Some knowledge on web sites, IIS and configuration is assumed.
Let me know if you still can't open the projects using File | Open Web Site (or File | Open | Web Site)
There's no 3.5 version of the book available. However the applications will open and run fine in VS 2008 and .NET 3.5