Choose File->New Project within Visual Studio and navigate to the "LINQ Preview" node in the project-type tree-explorer.  Then select the "LINQ Library" project icon and create a new LINQ enabled class library.

Figure 1

This will create a class library project whose MSBuild project file enables compilation support for LINQ.  A default "Class1.cs" file is added to the project - I recommend just deleting it to start with an empty project.