Let us say you have a web site project which uses .NET 2.0 framework and you want to change it to .NET 3.5 to try out something supported by .NET 3.5
You can right click the web site and access the Properties as shown here and change the target framework to .NET Framework 3.5
On the other hand if it is a Windows Application, you right click and access the Property pages as before which displays the following:
Now click on the Advanced Compile Options...button to display the next,
Now you can change over to the target you desire.