What OS + service pack are you using?
If you switch the preview mode from HTTP to File in project properties, does it work?
If you hit Ctrl+Shift+J in the empty browser window (or F12 in IE), are there any errors?
I tested it on both XP SP3 and Win7 SP1, and according to the docs I've used the new HTTP server should work on XP SP2 as well (although I'm not sure why you wouldn't want SP3).