The "Any CPU" part in particular is of interest especially if you plan on running your apps on Windows 64.
These configurations are contained in each project and solution i.e. if you open the projects in a text editor you'll see sections in the XML which contain the settings. These settings are also accessible through the Visual Studio UI via the pulldowns mentioned earlier.
The significance of the "Any CPU" is it's telling the compiler to compile the code into assemblies into code which can run on either 32 or 64 bit machines. If your assemblies are used by an application written in 64bit (and of course the app runs on a 64bit machine) then your assemblies will be used in the 64bit context, the same stands for 32bit (of course 32bit apps can also run on 32 or 43 bit machines).
64bit machines have an additional registry section "HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node", this section contains registry entries for applications build with "Any CPU" or x86 (32bit). The normal registry section "HKEY_LOCAL_MACHINE\SOFTWARE" is used for pure 64bit apps but if the 64bit OS comes across 32bit apps then it uses the "HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node" to get registry settings.
Note to that your installer may target this "HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node" section if your assemblies and installer are configured to "Any CPU" or "x86". It may not be what you expect.
There are some cavaets around the Registry entries used on 64bit machines. If your application uses registry entries in any way then you'll need to be aware.
When you compile your assemblies with "Any CPU" and your assembly is used by an application written for 64bit then the registry entries used will be slightly different.
(thanks to Miral on the msdn forums)