For those of you that build MSIs to package your applications, you'll quickly find that MSBuild does not support this, so the TFS Build Server cannot build your vdproj setup projects. Anutthara Bharadwaj has a good post with the
workaround for this. Pay attention to the part about needing Visual Studio installed on the build server - if you're like me and you installed the Team Explorer client on your server to test things out, you might be fooled into thinking VS is already installed. I felt pretty dumb when I figured that out, but at least I'm admitting to it!