Jeff Atwood at Coding Horror has a good post about how "F5 is not a build process." In it, he explains how you need a real centralized build process. F5 (the "build and debug" shortcut key in Visual Studio) on a developer's machine is not a built process. At Microsoft, we have a practice of regular, daily builds. We use a centralized content management system which everyone checks their code into. At least daily, a "build machine" syncs to the latest source code and builds it all. There are three main advantages of this system.
First, it makes sure that the code is buildable on a daily basis. If someone checks in code which causes an error during the build process, it shows up quickly. We call this "breaking the build" and it's not something you want to be caught doing. If you break the wrong build, you can get a call early in the morning asking you to come in immediately and fix it.
Second, it ensures that there is always a build ready for testing. This has the added benefit of providing one central spot for everyone to install from. If the build process is just on individual developers' machines, it is not uncommon for different people to be testing a build from radically different sources and thus have conflicting views of the product. If you find a bug and someone says "Oh, it's fixed on my machine with these private bits" that is a sign of trouble unless they fixed it in the last 24 hours.
Finally, it ensures there is a well-understood manner of building the product. If the builds are not centralized, there is no documented way of building the product. Being able to build then becomes a matter of having the right tribal knowledge. Build this project, then copy these files here, then build this directory, then this one. Having a centralized and well-understood build process is a sign of a mature project.
If you are looking to improve your build process, there are plenty of tools out there to help. The oldest and probably most-used tool is make. It's also probably the hardest to use. It has a lot of power, but it pretty quirky. I've heard good things about Ant but I haven't used it. It seems to be taking the place of make in a lot of projects. The latest Visual Studio has a new build tool called MSBuild. Again, I've heard good things but I haven't used it.