In XCode 4 you can access the Project menu if you click on your project's name in the Project navigator. I attach a screen shot of one of my projects to illustrate this.
The reason why you get the missing SDK error is that they removed the support for SDK 10.4 (just as ppc support) from XCode 4. If for some reason you need any of these, here's a quite detailed description about restoring both:
Hope this helps,
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