When I’m trying to explain things to people or just want to try something out really quick I’ll often create myself a temporary Visual Studio projects that I don’t intend to keep around. In fact, I have an entire Temp folder full of them. 
I always loved that in the VB 6.0 IDE you could choose not to save your project at all and no remnant would exist if you chose not to save. Apparently you can do this in Visual Studio 2005 and 2008. Go into Tools -> Options and select the Projects and Solutions node. Uncheck Save new projects when created.
Bingo.