This is not necessarily the case, it depends on how you created the web site. Whether you added a new web site or you created a new ASP.Net Web Site Project.
It is still possible to create web applications like you did with VS 2003 which do not use the dynamic compilation feature. Instead of choosing "Add New Web Site" to add a web site to your solution, instead choose "Add New Project" and choose the ASP.Net Web Site Project template. When you choose run, it will compile the entire site before launching the browser and hooking the debugger.