Note that this is not available when connecting to a Team Foundation Server 2005 instance. To control the machine that a build is performed with TFS2005, you must edit the build definition.
A Build Agent is a process installed and running on a designated computer that listens to build requests from Team Foundation Server and performs the build.
For information on setting up a Team Foundation Build Agent, see MSDN: Setting up a Build Computer. Note that if you wish to perform builds using Ant, then you will also need to install the Teamprise Extensions for Team Foundation Build on the build computer.
For information on creating and managing build agents, see MSDN How to: Create and Manage Build Agents