First of all, please make sure that you specified URL correctly.
If URL is correct, check if ASP.NET is installed and enabled in IIS. By default Windows 2003 Server does not install ASP.NET support even if .NET Framework is installed. If you are using Windows 2008/IIS7 see below the graphic for how to map .net to IIS.
To enable ASP.NET go to: Control Panel > Administrative Tools > Internet Information Services.
Select "Web Service Extensions", choose "ASP.NET v4.0.30319" and click "Allow".
Another cause could relate to the .aspx extension. Go to the properties of your website or virtual folder under which EP is running, and click on the "documents" tab. If you don't see 'default.aspx', then add that as a document for IIS to recognize.
For IIS7 / Windows 2008, the following info will ensure .NET maps to IIS:
You will need to enable the ASP.NET Feature (not using aspnet_regiis.exe) in IIS7 to be able to run your ASP.Net application on it, and this is how you do it:
Open Control Panel
Programs\Turn Windows Features on or off
Internet Information Services
World Wide Web Services
Application development Features
ASP.NET <-- check mark here
Article ID: 40, Created On: 2/26/2008, Modified: 10/31/2011