One day, the website was compiling correctly, the other (maybe after a security update for Vista) the build was not successfull. This only occur when the target website is on a UNC path.
The answer was on the Microsoft website,
C:\Program Files\Microsoft Visual Studio 9.0\VC>c:\WINDOWS\Microsoft.NET\Framework\v2.0.50727\caspol.exe -m -ag 1 -url "file:////\\servername\sharename\*" FullTrust -exclusive on
-f.
Ref: http://support.microsoft.com/?id=320268