I got tired of it and searched around the net for something that would help... I found PowerCommands for Visual Studio 2008 by klevy. You can right-click anywhere in the Solution Explorer and select "Collapse Projects" from that level.
It has other really cool features too like:
- Clear all panes (like Error List, Output, etc.)
- Copy Path (puts the path of the file in Solution Explorer in your clipboard)
- Copy and Paste References
- Edit Project File (to hand-edit the XML)
- And much more!
I highly recommend it.