Microsoft is constantly shipping products. Some products, like SQL Server 2005, had dependencies on other products and needed to wait for the other team to finish their code. SQL Server had to wait for the Visual Studio team to finish for example. Sometimes Microsoft releases the software in staggered waves. . VS 2005 shipped with .NET 2.0. A year later .NET 3.0 shipped. VS 2005 didn’t know how to code WPF projects so Microsoft had to release a patch.
The same problem is cropping up this year with Silverlight and Visual Studio 2008. Beware trying to create a Silverlight application with Visual Studio 2008 (RTM) You’ll see the following message.
“Package Load Failure
Package ‘Microsoft.VisualStudio.Silverlight.SLPackage, Microsoft.VisualStudio.Silverlight, Version=9.0.0.0,…”
At least you will if you have the old version of Silverlight 1.1 Tools Alpha installed.
Get the latest Silverlight 1.1 Tools Alpha for Visual Studio 2008 and you should be alright.
Warning: I had to uninstall the previous version first.

I had the same problem
I followed your directions
and now, when I attempt to create a new project,
I get this error message:
“Error HRESULT E_FAIL has been returned from a call to a COM component.”
if you know what the solution is, please contact me.
I have the same problem…but I’m running Silverlight 2 Beta 2 on VS 2008 SP1 Beta.