This is a common error with new developer/server installs, where IIS (5 & 6) won't process any ASP.Net documents (aspx, asmx etc), but just return a 404. However, it would happily return other files such as htm, txt, css. Typically you won't get any application or event viewer logging, but just the often forgotten and rarely used IIS logs (see my article on Where Are My IIS logs? to find yours :)
The IIS logs show the requests for the ASP.Net documents and record a response status of 404 being returned. This part clearly isn't helpful, but the logs also provide a sub status code which were 2:
#Fields: date time s-sitename s-ip cs-method cs-uri-stem cs-uri-query s-port cs-username c-ip sc-status sc-substatus
2008-02-27 12:39:13 W3SVC2 127.0.0.1 GET /default.aspx - 80 - 127.0.0.1 404 2
A quick Google led me to Microsofts IIS 6 pages explaining the sub status codes - bingo!
404.2 : "Web service extension lockdown policy prevents this request"
With the power of Google I managed to resolve the issue in less than a minute. Just open the IIS interface, select the Web Service Extensions menu node, on the right you will see the web service extensions available - just select the ASP.Net extension and click the allow button.