A Globally Unique Identifier (GUID) is a 128bit number created by windows. They are normally based on ip address, mac address, time and some other various settings and so can be considered unique across different machines (not just the one that the guid is generated on). They are used for a range of things, from identifying a particular session on a website to identifying registry dlls.
When you install visual studio 2005, guidgen.exe should be installed in C:\Program Files\Microsoft Visual Studio 8\Common7\Tools or equivalent. However on an install of VS 2005 I had, guidgen.exe was not installed.
If it is installed with VS2005, you well get an option to “generate guid” under the tools menu. If not, guidgen.exe is a standalone executable and can be copied onto your dev machine from elsewhere. Apparently, you can also create a new guid by running the following SQL: “SELECT NewID()”.