This problem was hitting me several times and I couldn't spot what it was, so here it is:
The Problem
When starting Debug or Start Without Debugging of a Web Application in Visual Studio 2008 the internal web server is started but the Web Browser doesn't.
The Solution
Right-Click on your Default.aspx file (I assume it will be fine for any .aspx either) and select Browse With... and select the browser you want, that's all!
(in my machine it was configured for XML Editor for mysterious reason :))
Keep Going!