Up to now, I have been using Visual Studio 2010 and SF for DeskTop Apps

I have a Web App to develop

Just downloaded MS Web Develpoer Express 2012 and wondering if his will work ok with SF to develop Web Apps

You will need to add the toolbox items manually.  You can right-click on a tab in the toolbox and "Choose Items..." to select the DLL that contains the items you want to add.