I created an empty project then added a .cpp file to the source files. Then I wrote my program and at first tried alt + f5 but it says that it cannot find the .exe file although it says that its built up to date.
Try it without the Empty Project setting on. Empty starts it without some of the settings that you need (not sure which ones precisely). Just put your code into the [yourprojecthere].cpp file when the project is created. I'll have to look around the menus a bit more but I'm not sure where Rebuild All wandered off to in VC++ 2010. Build is now under the Debug menu.