This is an IIS configuration error. Basically the application hasn't been correctly figured as virtual directory or some part of it. I'd suggest checking out Appendix B which describes how to configure IIS and these two threads:
which go into a lot more detail on some of the issues you might encounter. I'm in the process of rewriting this appendix for the C# version of the book in light of all the issues that have since arisen. I will make it available online for people to download here too, as it's basically a "cross-language" appendix anyway.