Welcome to the forum....
What do you mean with
but after downloading your code from this site and opening it in Java
This is about .NET; there's no Java involved here... ;-)
How are you opening the site / source? Here's what should work:
1. Make sure your site is in C:\BegASPNET\Site. The site folder should contain the file Default.aspx (and others) and the Demos folder
2. Open up Visual Web Developer
3. Choose File | Open Web Site or File | Open | Web Site depending on your configuration and browse to C:\BegASPNET\Site
4. The site should appear in the Solution Explorer. You should again see Default.aspx in the root, as well as a Demos folder
5. Open the file from the Demos folder in VWD by double-clicking it and hit Ctrl+F5. It should now appear in your browser.
If that doesn't work, can you explain what steps you've followed and what you're doing exactly? (That is, how the site looks in VWD, what you see in the address bar of the browser, where exactly you get these errors and so on?)
Hope this helps,