How can I open a C# exe?

I'm trying to open a C# exe.  I keep getting the message below.

I Googled this, and found this link.

http://stackoverflow.com/questions/5379870/changing-project-build-configuration-to-debug-mode

That looks promising, but none of the instructions/steps listed exist on my VS 2010.  This should be a simple thing, but I can't seem to figure it out!

Thanks everyone.

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