This one's a hard one for me to comment on as I didn't write this chapter. However I'm not seeing a Begin Folder in the downloaded code for the Chapter 04.zip (is there one in the whole code download?). I'm wondering if Chris removed it from the folder because there was some problem with it. She's on maternity leave atm so kinda hard to contact.
Anyway the Begin folder is largely superfluous for this chapter. Assuming you're using Cassini/ASp.NET development Web server and NOT IIS, then I'd suggest you just ignore it and just create a new web site called chapter4 yourself and take the Try It Outs (TIO) from the beginning, ignoring step 1. I've just done this and the TIO works fine.
The reason we had the Begin folder is that in some chapters we use specific versions of the WroxUnited site and the Begin folder has the db stuff already setup for you. I realise the last TIO in chapter 4 does reference a WroxUnited version in this chapter, however you should be able to run the last TIO in the chapter using the WroxUnited app, and just disabling the roles that are enabled first.
As for the problem, it's not a problem with the code, but either the setup in the code download or with ASP.NET 2.0 itself. I'd say it's some sort of permissions issue with ASP.NET 2.0. The best way to circumvent the issue is by creating a new web site and doing the Try It Out this way, ASP.NEt 2.0 should set up the new site correctly, and the Administer Website link should just work.
Hope this helps,