How do I change the startup project of a Visual Studio solution via CMake?

I am using CMake to generate Visual Studio projects. Everything works fine except one thing.

The startup project in the solution is always ALL_BUILD. How do I change the startup project to the real project I want via CMake?

You can't. The startup-project is stored in a binary file, which is NOT generated by CMake. Without that binary file, visual studio will default to the first project in the solution file and the ALL_BUILD project is always first...

Update: this answer is "out-of-date" since it is now feasible with CMake 3.6. See the answer by ComicSansMS.