Hi Woody,
The thing that comes to my mind immediately is Windows Sharepoint Services.
I'm not sure if you've installed that component. It's the component that
allows you to track you issues and manage your risk and documents.
If you've installed that bit then the problem is your Project Sites aren't
being created when you publish your projects. You've then got to do it
manually.
Logon to Project Server as an user with admin rights. Go to "Admin"-"Manage
Windows SharePoint sites". Just quickly take a look at the 3 textboxes, there
should be something in them if this part was setup during the installation.
If it is, on the left hand side, "Manage SharePoint Sites", you should see a
list of all the projects, just select one and click on "Create Site", your
problem should be solved.
If you want to avoid creating the site manually each time a project is
published, you could go to "Site Provisioning Settings", scroll down,
Settings for Web site creation, set it to "Automatically create a team Web
site for the project when a project is published to Project Server".
If you don't have WSS, let me know I'll see how I can help you in setting
that portion up. Hope this helps.