Hi David,
Yes, I think you are right that the Express Edition does not have this in the right-click menu. I have just started playing with the examples using the express edition (also chcek out this thread
Visual C++ 2010 Express Edition)
It seems like you do need any paid for version. OK, if you are a student and can use the DreamSpark download but not so if you are an oldie (like me!)
I think it is the CLR/MFC stuff which is limited in this way (I am so new I don't know really what I am talking about but...!)
So, need to save up...
Michael