Yes, in VS2010 they changed this behavior somewhy.
Open your project and navigate to the following menu: Project -> YourProjectName Properties -> Configuration Properties -> Linker -> System. There in the field SubSystem use the drop-down to select Console (/SUBSYSTEM:CONSOLE) and apply the change.
"Start without debugging" should do the right thing now.
Or, if you write in C++ or in C, put
system("pause");
at the end of your program, then you'll get "Press any key to continue..." even when running in debug mode.