I was facing the same problems initially. After following the Wrox Professional ASP.NET 4.0 book, I found the following solution for my case.
I first created a new web application. Copied all the website files into the web application folder. Right click on the application, and click conver to web application.
You might ask why you need to convert a web app into a web app. The answer is, that when you create a website, you simply code the .cs file where-ever required.
A web application, however declares .design.cs (or .vb) and a .cs file for the code and design section automatically.
NEXT: Remove all manual references, like 'Inherits' attribute in the PAGE directive, to other files in your website, since name spaces WILL take care of referencing the classes centrally.
I also faced a problem, since I had not included OBJ and BIN folder in my project.
If you think you are missing your BIN and OBJ folders, simply click the 'Show All Files' icon in the Solution Explorer and then right click on the missing folders and add to project. (to make sure they compile with the project.)
UPDATE:
As @deadlychambers points out in the comments: You can search everywhere by doing a "Ctrl + Shift + F" and then search for Inherits="(.*?)"
. This will find all occurrences and probably save you some time!