Visual Web Developer is one of the components of Visual Studio.NET:
http://msdn2.microsoft.com/en-us/library/fx6bk1f4(vs.80).aspx

In which case, you're already using Visual Web Developer:
http://msdn2.microsoft.com/en-us/library/s57a598e(VS.80).aspx

Here's a list of the main features VS 2005 has but VWD doesn't :

a) Class Library Project Support (note: you can build classes with VWD
-- but you can't compile them into a standalone assembly directly in the IDE).

b) Web Compilation Support (note: you get full intellisense and compilation checking on
F5/Ctrl-F5 with VWD -- you just can't pre-compile the site into a single set of compiled DLLs
for deployment without source files).

c) Source control support (integrated IDE support is only available in higher VS skus)

d) Mobile Web Support (no WYSIWYG support for mobile controls)

e) Accessibility checker (ASP.NET will emit 508/WCAG accessible markup
-- but express doesn't include the built-in accessibility checker for the IDE)

f) Localization support (this is provided at runtime by ASP.NET -- but express doesn't
include the built-in resource stripping functionality to easily localize sites; note that VWD
itself will be localized into 8 separate languages).

g) Unit Testing support (both class and web project unit testing are only available in the higher skus).

h) Class Designer

i) Web Load Testing

j) Remote Debugging (note: local debugging - including to IIS -- is fully supported)

k) Windows Forms and Console Library Support

Juan T. Llibre, asp.net MVP
asp.net faq : http://asp.net.do/faq/
foros de asp.net, en español : http://asp.net.do/foros/
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If you need to get 2005 Standard or Pro, don't forget ebay
http://search.ebay.com/search/search.dll?from=R40&_trksid=m37&satitle=Visual+Stu
dio+2005&category0=

Sometimes you get lucky and get a cheapy.

(No , I don't work for ebay ).