Possibly save 1 hour of your time: When you want to do a continuous integration build, you may want to specify different web.config or app.config used for the transformation based on a specific environment configuration.
In my environment, we used web.config for local use. Then we have SYST for system integration environment (team check in), UAT for user acceptance testing environment and finally PROD for production environment.
So you add a web.SYST.config and it is not nested under the web.config. It should look like this.
Some people suggest right click on the Web.config and find Add Config Transform. That did not show up for me.
The alternative is to go into the csproj file directly and edit the include to have DependentUpon element.
You also need to right click on the Solution and choose Configuration Manager. Under Active solution configuration, you can select New to create your own configuration. The name used here should also reflect the name in the config file.