Ok, so It took me a minute to figure this out, but here's the missing step.
After you've moved the zip file to the
C:\Documents and Settings\ashley.SENDSATIONS\My Documents\Visual Studio 2005\Templates\ProjectTemplates\Visual Basic\starter kits
folder (you'll have to create a folder called starter kits in the visual basic folder) you then open VB 2005 express and then create a new project from a template. You then select the TinyTennis template to create the new project from.
Viola, you can then press F5 to build and run the project.
Also, this should work with the c# version, but I've only tested with the VB version.