Tim,
Working in a WAP project should be very similar to working with a C# or VB winforms app or class library. In C#, everything in the root of your web site will be in the root namespace. If you create project "WAP1", that will be your root (default) namespace. To change it, just as in C# project, you would go to project properties (right-click your web site node, choose "Properties", and on the very first property tab - "Application" - you will see "Default namespace".
If you create a class in a subfolder, (e.g., NewFolder1), that will become a part of the namespace for classes in that project (so that total namespace in this example would be WAP1.NewFolder1).
You can reference classes from *any* folder in your code beside of an ASPX page - simply use the appropriate namepsace/classname. So if you have Default.aspx.cs in your root, you could refer to Class1 in your NewFolder1 as WAP1.NewFolder1.Class1. That should come up in intellisense. Since in WAP all of your pages and classes are in the same assembly, you can reference classes much more freely than you could in web sites.
However, App_Code specifically should not be used in WAP projects. It was created for the default Whidbey web site model. In Whidbey web sites, App_Code was compiled to a separate assembly, and all pages got reference to that assembly. You could share the code that way between multiple pages. With WAP, you can share code from any folder, so you don't need App_Code anymore. As a matter of fact, with WAP project, special properties of App_Code folder create problems, so that folder should be avoided. For more details, please see http://webproject.scottgu.com/CSharp/Migration2/Migration2.aspx
In general, ScottGu has excellent tutorials at http://webproject.scottgu.com/. Also, you probably should be aware that Web Application Projects (aka, WAPs), are included in SP1 for Visual Studio 2005 - so you can use them with Whidbey. There is also a forum with tons of knowledge on WAP - http://forums.asp.net/1019/ShowForum.aspx. About 90% of the info should be applicable to Orcas WAPs.
I hope that helps. 
Thanks,
Alex
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