Figured out how to get it working from VS2010:
- Set the "Host" project as startup project
- In its Properties -> Web, set the Start Action to "Specific Page" = Calliburn.Micro.CoroutinesTestPage.aspx.
- Close the Properties page, build and run.
If you had installed it locally, remove it and re-install it. Running outside of VS2010 then also works.