I have previously used Expression Web with XP and MS Server 2003 and in each case I am able to preview .asp pages in the browser.
I have now transferred to Vista and get the error "this page may contain dynamic content that requires a Web server...." On the other hand should I wish to preview an HTML page there is no problem.
I am aware that Expression does not support Classic ASP IntelliSense, but I can live with that.....if I have to.
It seems that the (HTML) pages you are able to preview are not being served by a web server.
Are you able to confirm that they are being presented on the http (http://...) protocol and not the local file protocol (file:///...)?