Currently Visual Studio does not have built-in WebDAV support, and by that I mean that you cannot open a web site in Visual Studio using an HTTP URL like you can with with FPSE.
But that being said, I use both Visual Studio 2005 and Visual Studio 2008 with WebDAV web sites by mapping a drive in Windows to the WebDAV site and then using Visual Studio to open a web site using the File System.
Mapping a WebDAV Drive in Windows:

Opening a WebDAV Drive in Visual Studio:
