I guess each time you 'start' (F5) your project, it's compiled and if you mean deployment of your project and building an installer for it here is the solution:
Go to File, Add Project and there 'add a new project'. From the dialog box select 'setup and deployment projects' and choose the way you want to deploy your project. Then it adds a new project. Play around with that and you will find the rest. Note that you should distribute DOTNETFX with your application. Look at MSDN, there are good articles about setup and deployment there.