I've followed all the step in http://webproject.scottgu.com/CSharp/migration2/migration2.aspx,

I right click the root node of the Web Application Project and select "Convert to Web Application" open, and . . . absolutely nothing happens: no error message, no warning, nothing, zip, and  no .designer.cs files are created. Any ideas,hints?  Thanks.

Ok, looks like a step was left out of http://webproject.scottgu.com/CSharp/migration2/migration2.aspx

After you copy the files from the Web Site Project into the new Web Application Project, you need to first include all the files in the project (i.e., select them and then right click and choose 'include in project'). THEN "Convert to Web Application" project will work.

Perhaps the author of the "Visual Studio 2005 Web Application Project" page could include that step in the write up...