Do you see "New Web Site" on your main File menu in the upper left? What about in the Start Page under "Getting Started" - do you see "Create a Web Site"?
What edition of VS is displayed at the top of the Help, About screen? Also, in the middle of that About screen is a list of installed products. If you have a web-enabled version of VS it will show "Microsoft Visual Web Developer 2005" in that list.
It sounds to me like you may have the Visual C# Express product, which is free but doesn't support ASP.NET. The free Visual Web Developer Express product does support ASP.NET. They basically broke the full VS into various pieces when they made the Express products.
By the way, this isn't a good book for beginners. Do you already have some experience with ASP.NET 1.x?
Eric
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