You are right. It looks like the Cassini service did not start. When I checked AdministrativeTools/Services - UltiDev Cassinis Web Server for ASP.NET 2.0 service was there but was not started - there was nothing for the state, just a blank.
I copied the event log for you
Information
Date:    1/20/2008
Time:   7:58:53 AM
Source:  UltiDev Cassini 2.0 Service
Description: Successfully started Cassini web application [1928, "BE & Associates"].
Information
Date:    1/20/2008
Time:   7:58:56 AM
Source:  MsiInstaller
Description: Product: UltiDev Cassini Web Server for ASP.NET 2.0 -- Installation completed successfully.
Information
Date:    1/20/2008
Time:   7:58:53 AM
Source:  UltiDev Cassini Service
Description: Service started successfully.
Warning
Information
Date:    1/20/2008
Time:  7:59:01 AM
Source:  ASP.NET 2.0.50727.0
Description:
Event code: 3008 
Event message: A configuration error has occurred. 
Event time: 1/20/2008 7:59:00 AM 
Event time (UTC): 1/20/2008 3:59:00 PM 
Event ID: f7968b6594a04b7b8bf154ced386b7c3 
Event sequence: 4 
Event occurrence: 1 
Event detail code: 0 
Application information: 
    Application domain: 14b3e063-1-128453183335000080 
    Trust level: Full 
    Application Virtual Path: / 
    Application Path: C:\Program Files\BE & Associates\ 
    Machine name: HARMONY  
Process information: 
    Process ID: 3716 
    Process name: UltiDevCassinWebServer2a.exe 
    Account name: NT AUTHORITY\SYSTEM  
Exception information: 
    Exception type: ConfigurationErrorsException 
    Exception message: Could not load file or assembly 'Microsoft.ReportViewer.WebForms, Version=8.0.0.0, Culture=neutral, PublicKeyToken=b03f5f7f11d50a3a' or one of its dependencies. The system cannot find the file specified. (C:\Program Files\BE & Associates\web.config line 24)  
Request information: 
    Request URL: 
http://127.0.0.1:1928/Home.aspx 
    Request path: /Home.aspx 
    User host address: 127.0.0.1 
    User:  
    Is authenticated: False 
    Authentication Type:  
    Thread account name: NT AUTHORITY\SYSTEM  
Thread information: 
    Thread ID: 4 
    Thread account name: NT AUTHORITY\SYSTEM 
    Is impersonating: False 
    Stack trace:    at System.Web.Configuration.CompilationSection.LoadAssemblyHelper(String assemblyName, Boolean starDirective)
   at System.Web.Configuration.CompilationSection.LoadAssembly(AssemblyInfo ai)
   at System.Web.Compilation.BuildManager.GetReferencedAssemblies(CompilationSection compConfig)
   at System.Web.Compilation.WebDirectoryBatchCompiler..ctor(VirtualDirectory vdir)
   at System.Web.Compilation.BuildManager.BatchCompileWebDirectoryInternal(VirtualDirectory vdir, Boolean ignoreErrors)
   at System.Web.Compilation.BuildManager.BatchCompileWebDirectory(VirtualDirectory vdir, VirtualPath virtualDir, Boolean ignoreErrors)
   at System.Web.Compilation.BuildManager.CompileWebFile(VirtualPath virtualPath)
   at System.Web.Compilation.BuildManager.GetVPathBuildResultInternal(VirtualPath virtualPath, Boolean noBuild, Boolean allowCrossApp, Boolean allowBuildInPrecompile)
   at System.Web.Compilation.BuildManager.GetVPathBuildResultWithNoAssert(HttpContext context, VirtualPath virtualPath, Boolean noBuild, Boolean allowCrossApp, Boolean allowBuildInPrecompile)
   at System.Web.Compilation.BuildManager.GetVirtualPathObjectFactory(VirtualPath virtualPath, HttpContext context, Boolean allowCrossApp, Boolean noAssert)
   at System.Web.Compilation.BuildManager.CreateInstanceFromVirtualPath(VirtualPath virtualPath, Type requiredBaseType, HttpContext context, Boolean allowCrossApp, Boolean noAssert)
   at System.Web.UI.PageHandlerFactory.GetHandlerHelper(HttpContext context, String requestType, VirtualPath virtualPath, String physicalPath)
   at System.Web.UI.PageHandlerFactory.System.Web.IHttpHandlerFactory2.GetHandler(HttpContext context, String requestType, VirtualPath virtualPath, String physicalPath)
   at System.Web.HttpApplication.MapHttpHandler(HttpContext context, String requestType, VirtualPath path, String pathTranslated, Boolean useAppConfig)
   at System.Web.HttpApplication.MapHandlerExecutionStep.System.Web.HttpApplication.IExecutionStep.Execute()
   at System.Web.HttpApplication.ExecuteStep(IExecutionStep step, Boolean& completedSynchronously)