No. This will not make a difference. If I had to guess, I would assume that the first time you did not create an SF application but just a standard .NET application which does not have the AppMain, references, etc. that the SF app expects. In any case, when designing an application, it is always best to store BOs in a class library anyway instead of the entry point executable. This will give you more flexibility when creating other assemblies or scaling your application.
On your first try, did you have a reference to you Business Library added to your main project?
System.InvalidOperationException was unhandled Message="An error occurred creating the form. See Exception.InnerException for details. The error is: An error occurred while creating a new DataLayer for the business object." Source="Lighting" StackTrace: at Lighting.My.MyProject.MyForms.Create__Instance__[T](T Instance) in 17d14f5c-a337-4978-8281-53493378c1071.vb:line 190 at Lighting.My.MyProject.MyForms.get_Customers() at Lighting.Customers.Main() in C:\Documents and Settings\Terry\My Documents\Visual Studio 2005\Projects\Lighting\Lighting\Customers.Designer.vb:line 2 at System.AppDomain.nExecuteAssembly(Assembly assembly, String[] args) at System.AppDomain.ExecuteAssembly(String assemblyFile, Evidence assemblySecurity, String[] args) at Microsoft.VisualStudio.HostingProcess.HostProc.RunUsersAssembly() at System.Threading.ThreadHelper.ThreadStart_Context(Object state) at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state) at System.Threading.ThreadHelper.ThreadStart()