I have a .NET 3.5 (target framework) web application. I have some code that looks like this:
public string LogPath { get; private set; }
public string ErrorMsg
That error should not be coming from the code you posted. According to MSDN, you've done this right: http://msdn.microsoft.com/en-us/library/bb384054.aspx
Hence I would recommend you re-check the error message, and where the compiler says the error is coming from. The text of the message you posted did not include a reference to properties, and there is a similar message for functions... Anything that is missing an implementation and not on an interface or marked abstract or extern can generate this error.
The auto-property is a feature of the C# 3.0 language/compiler. If you are using VS 2008, it should work even if you are targeting .NET 2.0. I JUST tested it to make sure.