For each framework you want to use the redistributables of it need to be installed.(Xna requires XNA 4.0 to be installed, SharpDX requires DirectX)
If not already done, select the solution folder the project is in (saved by the editor for each content project). Choose the platform you want to deploy to. By default, each user can only deploy to Windows, once you acquire a license you can build all other supported platforms (Android, Web, etc.).
On the bottom you can see all the previously created packages or any build issues after you click the Build-Button (similar to Visual Studio).