If you get an error like the above using MSDN help in Visual Studio (or in any other situation) you might try the following:
Go to "Add/Remove Programs", locate "Microsoft Document Explorer 2005" and repair it. You will have to restart your computer. Kudos to Steven Cheng for this info posted here.
The issue might be due to a failed or removed Orcas (Visual Studio 2008) Beta installation which corrupted the Document Explorer component on your machine. It's still advisable to install Orcas Betas on virtual machines only.