The Create GUID tool is often found under the Tools menu.
The actual binary – guidgen.exe – is supposed to be in
C:\Program Files\Microsoft Visual Studio 8\Common7\Tools
Apparently if you did not install Visual C++ when you were installing Visual Studio 2005, you are not going to get guidgen.exe.
I didn’t install Visual C++ in any of my VMs (trying to conserve space, plus I don’t use it anyway), which explains why my Create GUID tool is missing.
There might be a better way to do (perhaps browse through the Visual Studio 2005 install files?) but my workaround is to copy guidgen.exe from one of my other Visual Studio 2005 installs.