Make sure ASP.NET is enabled. You have to enable the ISAPI extension in the Extensions section of the Web configuration.
By default ASP.NET is disabled...
If that's not it check and make sure that the ASPX (etc.) script maps are installed. If not run
ASPNET_IISREG.EXE -i from the .NET Framework 2.0 directory to register ASP.NET with teh default web site. Look for the command line options to configure other subsites.
+++ Rick ---
>Can someone explain me what step need to be done in order for a .NET ASP.NET application to work under Windows Server 2003? I have the same problem on two servers. The application structure is the same, the .NET Framework 2.0 has been installed on both servers, but I keep getting a page not found for any .aspx request. However, I can easily access other files such as .ASP and .TXT.