I noticed that Visual Studio 2005 will frivolously ask you if you want to build out of date projects. For example, if I change a file in one project, build that project and its dependencies, and then try to run it will tell me that unrelated projects are out of date. Eventually I disabled that warning. Now I get a problem where, after building a project, it won’t take my changes or will tell me the source file is wrong.
So it seems like the warning was right and the real problem is even though you build your project sometimes you need to build it twice for no reason.