When I build a release version of a project in Visual Studio 2008, it creates a .pdb file, e.g. for a simple WPF project it generates a .exe and .pdb file.<
It depends on the project settings. Just happens that in Release version a .pdb is also generated by default. It will not hurt you - just don't ship it to the customer.
To skip its creation go to Linker->Debugging in project settings and set "Generate Debug Info" to "No".