When debugging web projects, I always use Attach to Process. Initially when attaching to the w3wp.exe process after a fresh Visual Studio 2010 install the following warning will popup every time:

This will not do!

You can modify the following registry entry to stop this dialog from popping up:

Set the value DisableAttachSecurityWarning to 1 under the registry key HKEY_CURRENT_USER\Software\Microsoft\VisualStudio\10.0\Debugger .

I believe this applies to Visual 2008 as well although you would use 9.0 instead of 10.0 in the registry key path.

I hope this helps