The URL is incorrect, as it has a file path tagged on the end of it.
http://localhost:8080/
file:/C:/Documents%20and%20Settings/corne.lombard/Application%20Data/NuSphere/PhpED/projects/myfirsttest.php
As a first step I would recommend you tell us what your basic project settings are:
Root directory
Root URL
Remote root directory
Default file to run
Going through the Settings Wizard might assist you with adjusting the settings if they are incorrect.
Also, you are using a proxy server port (8080). Whilst not necessarily incorrect (as it might not really be a proxy server), you might need to double-check that. Are you using Apache at the default port of 80, IIS with PHP, or the built-in NuSphere SRV server? My personal preference for web site development is Apache, but if you are just starting out then having a play with SRV might be easiest.
Remember that NuSphere have their own Tech Platform which you can download and install to give you a Apache/PHP environment, then you can optionally install MySQL database if you want that as well.