MDebug is intercepting the common .NET project system from Visual Studio and want to behave like you are used to Visual Studio. Therefore it is needed that you are working with the "MDebug projects".
Creating "MDebug projects"
For creating a "MDebug project" just create a new project within Visual Studio.
Within the template tree you will have the "MDebug" entry, under which you have the different types of projects.
C# or VB.NET ?!
If you like you can choose between C# or even VB.NET.
Migrate existing projects
If you already have existing projects which you want to run with Mono within Visual Studio it is even possible to convert existing projects to MDebug projects. Just right click on an existing project and click on "Convert to MDebug project".
If you want to test your program with the normal .NET Execution Engine, you can easily switch back to a normal project if you right click on your project and select the entry "Convert back.."