If your building a Windows Phone app and get this error then a quick fix is to download the XNA Game Studio 4.0 Refresh (40 MB) and install it.
This adds the missing target.
XNA Game Studio 4.0 Refresh
- Download page - http://www.microsoft.com/download/en/details.aspx?displaylang=en&id=27599
- Direct download link - http://download.microsoft.com/download/E/C/6/EC68782D-872A-4D58-A8D3-87881995CDD4/XNAGS40_setup.exe
Downloading and installing this takes way less time than repairing the Windows Phone SDK (which asks for a reboot as well). Also repairing does not always solve the problem.