How to know which projects failed to build in Visual Studio

Why don't you go to the Errors view and just look in the Projects column? Sort by that, and then scroll down it noting when the value changes.

As an aside, having 500 projects in a solution sounds like a really bad idea to me. I strongly suspect it would be worth either consolidating the projects or splitting into multiple solutions.

Another solution is to build your solution by MSBuild scripts instead of VS IDE. It is not necessary to write the script yourself. A visual tool such as MSBuild Sidekick may help you in generating the build scripts. You can configure your build script in such a way to break the process with the first build failure and log the project name somewhere for you.

I prefer using the "Output View" in Visual Studio in this case (show output from Build). The reason this is better is that you can see which project was the first that failed to build. The project that fails to build there probably has the code error.

At work I might have 20 projects failing to build and 20,000 errors, all because of one line of code. This is way easier than hunting through every project.