The Build Solution option in the second screenshot is what you need to click to create your DLL, or you can right-click on the project in the solution explorer and click Build:

(If you have only one project in your solution, then these two will do the same)
Output dll will usually be placed in the directory bin\Debug or bin\Release , depending on whether you are in the configuration of "Holidays" or "Debug", check the "Build" tab of the project properties for the exact path.
The reason you don’t see the “Build class file” parameter is because this is what the “Build project” menu item does - it will create a class library if the project output type is “Class library”, windows executable, if the output type of the project is “Windows Application”, etc.
source share