Hi Tulio,
It's likely you are not using LLBLGen Runtime Framwork as your target framework, but another one (Linq2Sql, EF, NH). When you create the project the first dialog asks you for the target framework you will use, you selected another one.
Right below the root node in the Project Explorer, it's the target framework you are using. You can right click on it and select 'Switch target framework', select LLBLGen Runtime Framework. Try to generate code again.