Build means that basically a set of tasks is performed for your program. The main components of a typical assembly are compiled and linked.
More specifically, an assembly may include compiling, linking, setting version numbers, copying outputs to a location, creating an installer, and something else.
When people talk about debugging or releasing an assembly, etc., they can have different settings specific to each. For example, in the debug assembly, you will create the database files of the program for debugging.
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