This morning I read on ScottGu's blog:
...can take 30-90 minutes to update your Visual Studio 2005 installation depending on which versions of VS you have installed, and what features are enabled. So you should plan ahead and not expect it to be a few second operation (note: it is a good task to kick off before lunch or in the evening).
So I uninstalled the VS 2005 Web Application Project update and I launched the SP just before going downtown for the last Christmas gifts.
At least VS2005 is still working, but I guess I've to retry the update procedure... this time before going to bed