where the zip file to add to crm package project for deploying CRM solutions?

I am following msdn.microsoft.com/.../hh547440.aspx, step 2: In the Add Existing Item – CrmPackage dialog box, select the ZIP file of the Microsoft Dynamics CRM solution you want to add.

However where is the zip file of the solution? seems my solution does not generate a solution zip file? cannot vs deploy the solution directly to the CRM as it maintains a connection to CRM?

Thanks,