You need Visual Web Developer Express 2008 Service Pack 1 (SP1) and according to the VWDExpress Readme: To see the “New Project” and “Open Project” in the “File” menu, you must manually add these commands to the menu by right-clicking mouse click the menu file by clicking "Configure ...", selecting the "Commands" tab, selecting the "File" category, and then dragging "New Project" and "Open Project" to the "File" menu ...
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