Right click the project you would like as your 'startup project' and select 'Set as start up project'. That should probably solve your problem.
It seems that you're setting the startup object but you have to select a project in your solution as the start up project, this has to be a console application or windows form application.
For more information see the screenshot at this link:
http://www.jeff.wilcox.name/wp-content/uploads/2009/11/VisualStudioSetAsStartupProject.png