I have an existing dotnetnuke application with customized modules in Desktopmodule. I have successfully installed dotnetnuke from www.dotnetnuke.com.
I open VS 2005 --> file --> Open --> Website and open the project and build the project without errors.  I can also run the project from my localhost without any problem.
When I make changes in the ascx.vb for the customized module in desktopmodules the dll does not get created in the bin folder.

This is the first time that I am using dotnetnuke.

Is there any reference that needs to be added ? or is there any other way to open a dotnetnuke project ?.
I also noticed that there is no app_code folder. How can I debug the dotnetnuke project in vs2005.

As mentioned above I would look for the .sln file for each respective module.  Also, be sure that the modules were built for the same version of DNN as the one you are working with, or at least a compatible one.  Foe example if the solutions are 2003 solutions you will have to go through a conversion process to get it to work on 4.x and VS 2005.