what is daily-build in general?
"Daily build" is a part of "continuous integration", and means that a complete project is built regularly and automatically. Typically this happens at least daily, or even more frequently if possible, maybe even after every change.
The main goal is to make sure the project can always be built; also, various tests can be run as part of the build, you can automatically deploy to a testing environment, generate installers for further testing etc. .
what's the difference if I build my own project in VS?
It happens automatically, and using the default configuration. This makes sure the project always builds correctly, and not only on your system (e.g. because you have a special config which you forgot to check into version control, or you have a particular IDE installed).
how do we do it the best way for .net project?
Use a CI (continous integration) server, e.g. CruiseControl.NET. There are several available.