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Creating Application Pages for SharePoint

An application page is an ASP.NET Web page that is designed for use in a SharePoint Web site. Application pages are a specialized type of ASP.NET page. The primary difference between an application page and a standard ASP.NET page is that an application page contains content that is merged with a SharePoint master page. A master page enables application pages to share the same appearance and behavior as other pages on a site.

Visual Studio enables you to design application pages by using a designer. The designer displays a content area for each content placeholder that is defined in a master page. You can design the application page by dragging controls to these content areas.

Application pages are shared across all sites on the server, whereas a site page is specific to one site. For more information, see SharePoint Page Types.

By default, most of the pages that appear when you create a SharePoint site are site pages. A site page can be added to a SharePoint page library. Users can customize a site page by using tools such as SharePoint Designer. A site page can also host features such as dynamic Web Parts, and Web Part Zones.

Application pages cannot do these things. However an application page is the best type of page to create if you want the page to contain custom code. Although you can add custom code to a site page, the code stops running when the user customizes the page by using tools such as SharePoint Designer.

Note Note

Visual Studio does not provide templates that help you create site pages for a SharePoint site. For more information, see SharePoint Page Types.

To create an application page, add an Application Page item to a SharePoint project. When you create an application page, Visual Studio adds the following folders to your project:

Folder

Description

Layouts

Maps to the _layouts virtual directory of the SharePoint file system.

Layouts subfolder

Contains the files that make up the application page. By default, this folder has the same name as your project. You can rename this folder at any time. When you run the project, Visual Studio deploys this folder to the _layouts virtual directory of the SharePoint file system.

Visual Studio adds the following files to your project:

File

Description

ASP.NET page file (.aspx)

Contains XML markup that defines the page.

Application page code file

Contains code behind the application page. Add code that handles events to this file.

Application page designer code file

Contains code that is generated by the designer. Do not directly edit this file.

Design the contents of an application page by using the Visual Web Developer designer in Visual Studio. This designer appears when you double-click the application page in your project. For more information about using this designer, see Visual Web Developer Content Map.

Note Note

You can only design the page in the Source view of the designer. The Design view of the designer is disabled for application pages.

You can debug an application page just as you would debug other SharePoint project items in Visual Studio. When you start the Visual Studio debugger, Visual Studio opens the SharePoint site.

To view the application page, you must manually navigate to the location of the application page (for example: http://Server_Name/_layouts/Project_Name/ApplicationPage1.aspx).

For more information about how to debug SharePoint projects, see Troubleshooting SharePoint Solutions.

By default, an Application Page item references the master page of the site that you are using to debug your project. That page is named v4.master and you can find it listed in the Master Page Gallery of the SharePoint site.

You can explicitly change which master page is used by the application page by setting the MasterPageFile attribute of the application Page element. (For example: MasterPageFile="~/_layouts/applicationv4.master"). In fact, you must set this attribute if dynamic master pages are not enabled on the SharePoint server. For more information about master pages in SharePoint, see Master Pages.

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Correct Walkthrough
This is or should be the Walkthrough

Walkthrough: Creating an Application Page
http://msdn.microsoft.com/en-us/library/ee231557.aspx
Initial description ommits designer limitations
Firt:
Visual Studio enables you to design application pages by using a designer. The designer displays a content area for each content placeholder that is defined in a master page. You can design the application page by dragging controls to these content areas.

And then:
Note: You can only design the page in the Source view of the designer. The Design view of the designer is disabled for application pages. 

Even if the note is precise about this significant limitation, the first paragraph is quite misleading - IMHO, when you write "design pages by using a designer", everyone expects it to be a visual designer.  The same happens in Walktrough page, where it is not clear that you have to drag and drop to the code view, and in which section of code you have to drop the controls.

Designing the Layout of the Application Page: The Application Page item enables you to use a designer to add ASP.NET controls to the application page. This designer is the same designer used in Visual Web Developer. Drag a label, a radio button list, and a table to the Source view of the designer and set properties just as you would design any standard ASP.NET page.