This in one of my pet peeves. Its simply none negotiable!
I still don't understand why it can be turned off. Heck, I don't understand why its not turned on by default. I even don't understand why the C# compiler even emits warnings instead of errors in the first place. It seems that I don't understand very much, do I ? ;-)
So, let's get to the order of the day, shall we? Stand up, put up your right hand and repeat after me: I will always treat compiler warnings as errors.
Now, to make your life a bit easier, you can use John Robbins' most excellent SettingsMaster add-in which comes with the source code of his book Debugging Microsoft .NET 2.0 Applications (if you don't own a copy of this book, then go get one; you are missing out). This particular add-in adds a button to the toolbar of Visual Studio. Just select a project in the Solution Explorer and press the button. That's it. Your set to go.
Make it a habit to push that button every time you add a new project to your solution. It will save you a lot of grief in the long run. Trust me, I know. As usual, I found out the hard way.