I think i know what is wrong, i had this error before.
The problem is when you create a project it is created in a temp folder in which you have limited permission (VS won't allow you to save any project to this folder)
So what you need to do when creating a project:
-Create a new WebGUI project
-After the project is loaded go to file->Save all
-Select where to save your project
-After the project is saved close Visual Studio
-Go to the folder where you save the project and then run the .sln of you project.
Then everything *should* be running like expected
I hope this help. (even if it's been a while since you posted this problem)