You can use Intel C++ Composer XE 2011 with Microsoft Visual Studio 2010. There may be something wrong with installation or integration.

Can you use Intel C++ Composer 2011 XE from command line?

When you installed Intel Parallel studio did you have an option to install integration into Visual Studio? If so, into which one did you install?

If I remember correctly integration is possible only into one version of Visual Studio at a time. Someone from Intel could tell us whether that has changed.

The XE 2011 products support integration with VS 2005, 2008, 2010, as many of those as you have installed, if they are the designated versions where Microsoft permits 3rd party product integration. XE 2011 was the first to support VS2010, and XE 2013 will no longer support VS2005 (according to announcements). The tighter limit is on how may versions of an Intel product can be integrated (2).

Thanks for clarifying that Tim. Then maybe doing repair of the XE installation would help?

That's correct and here is my case. I have 3 Visual Studios on my development computer:

Visual Studio 2005 Professional Edition ( PE )
Visual Studio 2008 Express Edition ( EE / Free )
Visual Studio 2010 Express Edition ( EE / Free )

I've installed Intel C++ Composer XE 2011 andintegration was done only with Visual Studio 2005 PE.

However, it doesn't mean that you can't use Intel C++ compiler with Visual Studios 2008 & 2010 EEs.
You can create a make file base project and use Intel C++ compilerwith command line options.

>>I bought Intel Parallel Studio XE 11 including the intel c++ compiler. I can use it with visual studio 2005
>>and can't use it with visual studio 2010. Based on the help file it seems work with visual studio 2010.
>>Did I do anything wrong?

What areeditions of Visual Studios 2005 and 2010? Please let us know.

Best regards,
Sergey