I found the problem. I was using a shared drive locations (my profile stores "My Documents" on a network drive, even the offline version) and this was causing a problem. When I created the project on a non remote directory (my D drive) there was no problems.
I have tried to do this project and I am getting the following error when I try and run it:
SecurityException was unhandled
That assembly does not allow partially trusted callers.
Any ideas on what is causing it?