Joseph Johnson
Akbar,
The CommerceAuthenticationModule has probably been included in the HttpModules section of the Web Configuration file associated with your solution. This module has an external dependency on a site resource which should have been deployed correctly when you unpackaged your site.
Your statement that you have "created a web app through wizard" is probably something worth looking into. Did you create a new web application through visual studio If so, there's a web configuration file somewhere in your folder heirarchy which is attempting to load the Commerce Server HttpModules when running your web application.
Typically, you don't start doing Commerce Server development by creating a new web application. You should instead use the site packager to deploy out the CSharpSite (for a completely blank solution), or the StarterSite (for an example solution).
Unpacking a site: http://msdn2.microsoft.com/en-us/library/aa544681.aspx
Site packager is responsible for creating your initial web project, as well as creating several "resources" in your database. The absence of one of these resources is the cause of the error you are seeing.
If my assumption is incorrect and you have actually correctly deployed using site packager, the Biz Data Service is referring to you profiles subsystem, so you might want to re-add that resource to your existing application through Commerce Server Manager.