ASP.NET 2.0 adds support for a new feature called "Profile Personalization" which enables developers to easily store and retrieve profile data about a user visiting the site within a personalization database. With Visual Studio 2005 Web Site Projects, ASP.NET automatically adds a strongly typed "Profile" object to each page in the project that provides a strongly-typed mapping of all properties defined within the "profile" section of the application's web.config file. Developers can then get intellisense against this, and automatically save/retrieve values from it.
Download the "Web Profile Generator" available at http://workspaces.gotdotnet.com/AspWebProfileGenerator and follow the directions for installing. This will allow you to run a command to generate a Web Profile for your web application.