In VS, it is possible to set a custom build rule at the individual file level. However, unless you change the description of the build step (which is what msbuild outputs when running the external tool), all you get is the default, which says "Performing Custom Build Step," followed by the error output of the tool.
I recently got burned by this in an inherited solution, where the build rule for a .asm file buried deep in a project was failing, and NASM didn't provide any useful debug information. Since I didn't know what file was failing, it took me forever to find the problem. One thing I tried was changing the description for all the projects in the solution (by selecting them all at once and opening the properties panel) and adding macros to show the project and file affected. Since the build rule was attached to a file, however, this naturally didn't work.
I also tried searching for the default description string in all the project files, but the project files don't store this information unless you set the value. So clearly, there's got to be a default somewhere. Anyone know how you can set this?