For the projects (not the website), there should be a drop down in the first page of the project properties page that lets you select the framework version.

For the website, you'll need to adjust the web.config.  There are actually quite a few changes that should be made in order to support web services, LINQ, etc.  Which version of DNN are you working with.  In the newer versions, there's a button on the Host Settings page that will make the required changes to the web.config.  If you need to make those changes manually, you can get the manifest of changes from the /Install/Config/Net35.config file in the 5.1.4 install package.

Hope that helps,