Good afternoon, Tony!
When you create a new Silverlight application, either the ESRI template ones or the regular Silverlight applications, you have the option of creating a web site to host your project. There will be a dialog box that pops up after you have named your new project, with a check box (Host the Silverlight application in a new Web Site), a text box to name your web project, a dropdown to choose your web project type (the default option is fine), and then another dropdown to choose your Silverlight version (your choice of Silverlight 3 or 4), and finally a checkbox to enable WCF RIA services (not likely something you'll need at this point in time).
Make sure the first checkbox is checked, and the web project will be created for you automatically, and set as the default start project.
If you haven't gone too far in your previous project, I would definitely recommend starting a new project, as it's much easier to set up the first time than to try to go back and change it. You can copy and paste the code from your old project across, so it shouldn't cause much in the way of lost time.
Lisa