Hi Adele,
That is because you do not need to build anything with GPM libraries. You just need to specify them, and Skyline will use them. Keep going in that first Targeted Method Editing tutorial. On page 10 there is a section titled "Using a Public Spectral Library". In it a GPM library is added to Skyline, but you will find that the Build button is not used. Instead you click the Edit List button above it. The full steps from the tutorial read:

 On the Settings menu, click Peptide Settings.
 Click the Library tab.
 Click the Edit List button.
 Click the Add button in the Edit Libraries form.11
 In the Name field of the Edit Library form, enter ‘Yeast (GPM)’.
 Click the Browse button.
 Navigate to the Library subfolder of the MethodEdit folder.
 Double-click the yeast_cmp_20.hlf file.
 Click the OK button in the Edit Library form.
 Click the OK button in the Edit Libraries form.
 In the Libraries list, check the newly created ‘Yeast (GPM)’ item.

That pretty much sums it up.

Good luck. Thanks for your interest in using Skyline for your research.

--Brendan