Without the full error message I can't be sure of what your problem is, but I can guess and make some suggestions.
First off your problem might just be that you have not put the proper VS2005 DLLs on the target machine. VS2005 is going to use need the newest versions and if you just put them in you application directory that usually solves startup problems. If this is the problem it will state that it can't find a DLL.
The next thing is just what kind of project you create is going to determine what kind runtime support you need. For instance any project in the CLR section is going to use .Net, and for VS2005 that means .Net 2.0 and that means .Net 2.0 would have to be installed on the target machine. For the other project types it is usually just the runtime DLLs that need to be included and you can find them at:
"C:\Program Files\Microsoft Visual Studio 8\VC\redist"
Also for non-.Net/CLR projects you can change WINVER in your stdafx.h file, but I have actually found that as long as I didn't use anything that isn't supported on the target OS, and get the proper DLLs in the application directory, I haven't had to change WINVER.
Another suggestion is start small. Like just compile up the Win32 HelloWorld example and put it on the target machine, and see if that starts up, it certainly should.