I used "Microsoft .Net Framework 2.0 configuration" and I ended up in a same place!!
I interpreted this, "Under "My computer", select "Configure Code Access Security Policy"", as there was a item under "My computer. So I was not able to find Configure Code Access Security Policy in the "Left Pane".
I did find Configure Code Access Security Policy in the right pane. When I clicked Configure Code Access Security Policy, then the "Runtime Security Policy" was highlighted. Therefore, there was no difference in clicking "Runtime Security Policy" and select "Create Deployment Package" and choosing "Configure Code Access Security Policy" and select "Create Deployment Package".
However, this did not create a complete Deployment Package. This is not as same as VB6's deployment packaging wizard. VB.Net's help was useless in finding how to create a deployment package. If this causes too much pain, I'm sorry but I need to go back to Visual Studio 2003. But thank for your help!