See Preserving Output Directory Structures in Orcas Team Build . It's pretty irritating that this is neccesary, and it's a per-project tweak, but it can be made to work.
The default for Team Build is as you've seen - binaries in one folder, web sites each in a folder structure of their own; one per configuration being built. If you're just getting started with TFS, I suggest you try to use the default. You're more familiar with separate folders, but almost everything you read about Team Build will use a single output folder.
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