In VS.NET 2003 you can simply open the project property pages, select the General category and change the Configuration Type to Utility. Using the project dependencies in VS.NET you can configure the Utility project to be built before the other needed Projects.
For more information on creating and using Utility projects in C++ within Visual Studio, you can refer to the information in the MSDN Library. An excellent resource is available here:
Chris Sells has also made interesting remarks regarding makefiles and utility projects in an archived response available here:
This was first published in August 2004