Unfortunately for some bizarre reason Visual Studio 2005 and 2008 do not have this feature by default.  However, there is a simple solution to this. Create a macro and assign it a shortcut key.

First create a new macro module though Tools > Macros with the following code

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Imports System
Imports EnvDTE
Imports EnvDTE80
Imports System.Diagnostics
 
Public Module BuildStartup
    Sub BuildStartup()
        DTE.Solution.SolutionBuild.BuildProject(DTE.Solution.SolutionBuild.ActiveConfiguration.Name, DTE.Solution.SolutionBuild.StartupProjects(0), False)
    End Sub
End Module

Now that you have the macro, you simply assign it a shortcut key through Tools > Options.  Look for “Keyboard” under “Environment”.  Find your macro in the command list and assign it a shortcut key.

Enjoy.