I had this same problem. I think I fixed it by selecting Tools - Options from the Visual Studio 2005 menu, selecting the Projects and Solutions - General node, and checking the Show advanced build configurations option.

>In Test 1: Retrieving Data
>
>Step 8. When I do this step I get the following message:
>
>Project needs to be rebuilt.
>This operation may reset the Object Test Bench and the method or operation
>may not be invoked. Are you sure you want to continue?
>
>I rebuilt the project but continue to get this error.
>
>Thanks,