I would like to use Sublime Text 2 to build my Visual Studio 2010 solutions.
So far I have this:
Menu item Tools > Build System > New Build System...
The error message is because you did not specify what you wanted to build. See the MSBuild Command Line Reference. At the very least you need to specify a project file:
MSBuild MySolution.sln MSBuild MyProject.csproj MSBUild MyMSBuildScript.proj