Manage Blocked File Types. On the File menu in Visual Studio 2005 point to New and then click Project. Regarding the error the file type is blocked could you send the related screenshot so that we can clarify your situation.
Open up the SharePoint Central Administration web site. In the Location box type the path to where to create the application and then click OK. The following are the file types blocked by default by SharePoint.
Heres how to unblock a file using Properties.
You can get the list via Manage Web Applications page as well. Under Operations click on Blocked File Types under the Security Configuration section. To manage blocked files Navigate to Central Administration Security Define Blocked File Types. Right click on the file that is blocked.