I had the same problem for a while. I realized that I did not have an application setup to run asp scripts.
HOW TO:
Go to the Internet Information Sevices Console and right-click on the site that is giving you trouble and select "Properties"
Click on the "Home Directory" tab.
If "Application Name" (bottom half of dialog) is not enabled, this is your problem (if is is enabled, stop reading now - this won't help you). Simply click the "Add" button and try your asp page again.
If this post helped you - e-mail me and let me know.