[link] Shell command - Open folder as Website Project in VS 2005
Bradley posted a cool tip a while ago for how to simplify this. He uses a Visual Studio macro from a shell command (installed by a simple reg file) so I can just right click a folder and select "Open as Visual Studio Website".
*UPDATE - You can use an SLN file, and I guess you get one when you create the project in VS (per Luke's comment). I generally use Web Application Projects and end up with Website Projects which were created by other people and don't come with SLN's.