Chuck and Duh were right on the money and that was my guess from your stated problem Tim.
At the EOD (End Of the Day), all of Visual Studio's project templates and Options, really set options for the CSC.exe (C Sharp Compiler) behind the scenes. So, for instance, if you start up a project based on a WinForms template, it sets options that are passed to the CSC to tell it to compile the program as a Winforms exe...or console exe etc.
From what I know of #Develop, it does the same thing and the passes the correct arguments for your chosen application type to CSC.exe, to compile your program.
Cheers,
Glenn.