Visual Studio 2005 doesn’t prompt you where to save the solution file for a web site like it did in Visual Studio 2003. It is creating a solution file though.
The location is:
C:\Documents and Settings\<username>\My Documents\Visual Studio 2005\Projects
If it gets lost or deleted, Visual Studio 2005 can recreate it.
Also, if you want to see the solution in Solution Explorer in Visual Studio 2005, you can look in the Options for the IDE. There is an option to always show solution file.
Tools menu | Projects and Solutions | Always show solution