If you get Microsoft Project 2010 and use it to manage your projects (I don’t personally, I use Agile) – then you can sync with with SharePoint 2010.
There is an article, which shows you how to setup the sync, which is pretty cool, but it doesn’t give you tons of detail about the url you need to put in.
The url you would want to put in is the url to your site. Not a page or list.
Ex:
if your site is
http://mysite/sites/Projects/MyProject
you would use that. Some might think you would put in a link to your task list or something else, but you just need the root site. Now you know!
Steve Novoselac's Blog 