I believe this is a result of the fact that the Documents module is project based and was created under VS2003 for ASP.NET 1.1, which will work in ASP.NET 2.0. In order to compile and debug in VS2005 using the website senerio, not project based; the module will need to following the rules for creating a new module as laid out by the core when DNN 4x first came out.
I recently went through this process with a third party module that I purchased with source. After converting it to VS2005 and ASP.NET 2.0 and running in DNN 4.3.7, I at least got it to debug.
This could best be answered by one of the project teams that have convered an existing module. Surveys come to mind.
Note: If the project model had been out when the conversion of DNN from 3 to 4 took place, well you get the picture.