In web developer express 2008, the Build option appeared in the menu.
In web developer express 2010, it is no longer in the menu, but in the Debug menu I can do a Debug build.
What's the new way to make a build release in 2010?
alt text http://www.deviantsart.com/upload/1nnd8pm.png
Select "Tools" → "Options" → "Expert Options". This will enable "Build" → "Configuration Manager".
There will be more people asking the same question (it took me a while to figure this out), give this information publicly.
On the screen you posted, there is a "Configuration Manager" option in the menu. Try to find the debug and debug versions there, including the current / active configuration.