I'm not sure you can do it with Visual Studio natively. You might have to use a plugin like
StyleCop. See http://stylecop.codeplex.com/
I understand why you'd want the indentation done- because the conditional directives currently look quite messy. However, with the current indentation, the advantage is that it can be easily seen by someone who is reading your code. Since conditional directives can change the flow of your code by a great extent, it might be okay as it is right now. Otherwise, you have the plugin options :)