Normally, you don't need anything to do about it, if you, for example, created an application from Visual Studio template. Entry point is only applicable for application assembly types, no class library (check up project Properties window, "Application" tab). The only real difference between application and library assembly is the availability of the entry point static method; but you can reference all types of assembly as libraries, if you want to.
Entry point is explained here: http://msdn.microsoft.com/en-us/library/f5xe74x8.aspx
For some background, see also: http://en.wikipedia.org/wiki/Main_function