There doesn't seem to be a place to do this. Usually I go to Options -> General for libraries and then I can change the Framework version... strange.
Yeah, a couple of months ago I ran into this same issue; I checked the .csproj file of a project that had this setting visible to see what the deal was, and the issue went away after I copied over the setting:
<TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
at the end of the first property group.