I can't reproduce it actually: load an oracle project using ODP.NET, select selfservicing + .NET 2.0, choose the web project, everything generates fine. We'll see what we can come up with as some of us can reproduce it, others can't...
I've tested it by unpacking the archive in a random folder and specifying the Tasks and Templates folder as additional tasks and additional templates folder in the preferences, then restarted the designer. Will now try when I simply unpack the file in the designer folder.
Be aware that when you installed in c:\program files... and you're using vista / windows 7, you have to install the templates there as administrator!
(edit) also with storing the templates in the install folder: same thing, works like a charm. Sorry, but I can't find a way to reproduce it locally or think of a way why it didn't work, other than that the templates aren't in the right folder.
if you open the templatebindings file in the templatebindings viewer, does it enlist the template files as red (i.e. missing) ?