How to correct it?
When you say 'ASP.NET web project', do you mean 'ASP.NET web application project'?
If so, the web.config should have a build action of Content by default. As Brandon mentioned, Content is then copied over to the publish destination.
To verify, select the web.config file in your Solution Explorer then use the Properties Window. An example:
example http://photos.tiredstudent.com/WebStorageHandler.ashx?tb=false&id=558