Configuration Manager is mainly used to set the projects or Solutions Build configuration 
to debug or release. 

Its imporant to put in debug mode because the break point would not be hit in release mode

Now 

Configuration Manager generally appers under Visual Studio .Net 2005 's Build Menu 

If its not there this is what you have to do

Go to 

Tools - options ->Projects and Solutions ->General

Check "Show advanced build configurations"

Thats it click on Ok 

and the Configuration Manager Should be there under "Build" Menu

If you cant see it even after this then 

go to command prompt type 
devenv /resetsettings

then repeat the above tools->options step