This is expected behavior.
No, this is not a configuration issue. This is how your system registry is set up. As a Windows developer, you're supposed to know such things. See
http://msdn.microsoft.com/en-us/library/windows/desktop/cc144148%28v=vs.85%29.aspx[
^].
It happened just because you installed VS 2003 first and VS 2005 later. You can easily change the file type back to VS 2003 (consult the article I referenced above), but I don't advise to do so.
Also, why do you think there is anything wrong with opening all your projects with VS 2005. I think .NET v.2.0 (targeted by VS 2005) is the first decent version of .NET; and it still has its values these days, but everything prior to this version does not worth any support. Moreover, v.2.0 can be installed on any system which can have prior versions of .NET Framework, so you have absolutely nothing to loose.
Also, you can migrate to any later version of Visual Studio and still support v.2.0 as all later versions of Visual Studio support multi-targeting and a project can be targeted to any .NET Framework version starting from 2.0 (but not earlier versions; they really go out of support).
—SA