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Cannot start debugging with VB.NET application - visual studio cannot create executable

I am new to VB.NET, and am creating a simple document batching program with Saleforce data into MS Word.
I have downloaded the API6.0 VB.NET samples and have run them successully (with command prompt interface).
I wanted to start making some changes to the underlying code to test a few things, but any changes I make to the project do not seem to have any effect to the executable.
Also if I try to debug the code, I get error:
"Visual Studio cannot start debugging becuase the debug target C:/....... sample_vb_p.exe is missing.  Please build the project and retry, or set the OuputPath and AssemblyName properties appropriately to point at the correct location for the target assembly."
Can anyone point me in the right direction as to how I could progress with this?
Do you need to build a new executable before running so that changes to code are compiled?  If so how do I go about this if I cannot debug it???
Many thanks in advance