You are correct that VB 2005 has a much different model for building/placing binaries than VB6, but there are pros/cons with each approach. In any case, here's some options for you.
1) If you goto the properties for a project, (compile tab) you can control where the output binaries get written. There also is build events button that you can use to do post build events -> e.g. you could have whatever binaries you want copied whereever you want, etc....
2) Choosing retail vs. debug is a bit tricker. By default, VB uses a "simplified" model where if you press Ctrl-F5 (run w/o debugging) it builds the retail build, but if you press F5 (run with debugging), it builds the debug version. If you bring up the tools/options page, goto the projects node, and choose the "show advanced configurations" checkbox, you can goto the compile page and pick exactly what configuration you want to build.
3) Lastly, I'm not sure what you are referring to w.r.t. deployment package. If you create a windows form app (for instance), there is no deployment package that is created when you build it. You either have to add a setup project to your solution and build an .msi or you can publish your app using clickonce. I'm not sure what you are doing though.
Hope that helps.
Toddap_MS