I would not like to go with the default compilation procedure offered by Visual Studio when I hit F5. I would like to have my own compilation steps.

How can we customize F5 key actions in Visual Studio.

It is possible to reassign the F5 to to whatever you want. 

Tools -> Options

Inside Environment -> Keyboard 

Find what ever command you want to remap F5 to and overwrite the default. 

Thanks. I got there but did not find a way to map a set of my commands to the key.

For example, on hitting F5 I want a website project to precompile and aspnet_merge.exe utility to run on it to merge so many assemblies into one. Is this possible. If yes, how?

Normally for more complicated sets of instructions you could write a Macro.  And that Macro could be assigned to the F5 key.  Also it might be possible to use the pre-built and post-build commands.  They are a property of a project.  You can execute executables and other command line tools.

Right clicking on a Project from Solution Explorer then Properties.  There will then be a selection for "Build Events" and go from there.