you are very much encouraged using DNN 4.5.3, instead of dnn 3.x... as dnn 3.x is end of life, and also.. project setup with dnn 4.x is quite a bit easier

Anyway... if you want to proceed, there are a few things you need to check:

• depending on the url of your website, you need to change all web references in all solution files. ie. if your local url is this: http://localhost/dnn337, you need to replace all references to http://localhost/dotnetnuke to http://localhost/dnn337. This is best done by the replace in files option in vs2003, just do a search and replace in all files below the root of your dnn installation
• make sure you set the .NET version of the IIS virtual directory to ASP.NET 1.1
• the dnn 3 source contains several different solutions, all to be found in the /solutions folder of the source distribution. For the first compilation, you'd best pick the DotNetNuke.All solution
• Open the DotNetNuke.All solution, and do a build all. Sometimes you need to build the solution 2 times because some dll's are not there on the first go, causing reference errors
• make sure you renamed either release.config of development.config to web.config, and make sure that the sql connection string points to the proper database
• browse to the site