This one has been bugging me for a while, so I’m very glad to find a fix. The defaults for Visual Studio Express have the Configuration Manager hidden, I guess on the justifiable basis that most users of VS Express would just be confused by it. If you do need it however, you can make it visible.
Update, September 2010:
See the comments below for how to make this work with Visual Studio Express 2010.
First, select Tools|Options to bring up the Options dialog. Make sure that “Show all Settings” in the bottom left-hand corner is set. Select the Projects and Solutions page and set “Show Advanced build configurations.”
The Configuration Manager will now be restored to its rightful place at the bottom of the Build menu:
And the Configuration selector on the toolbar will now be enabled: