For those who have not yet read the documentation.
You should first begin by build a XNA Project (either for Windows, XBOX or Phone). This will create a directory containing all the code and resources. Open this project in Visual Studio and compile it.
Once your project folder is created, you do not need to recreate it each time you build your application. Switch the build type to XNA Application (using the same type as the project, Windows, XBOX or Phone), select the sln file at the root of the project, and MMF will save only the application. You can even do it while your project is opened under Visual, in this case you will get an alert message.