<p>Currently when I build my site I have to manually open validate it at the 3wbc site (means when opera pops up, press ctr+alt+shft+u) for every page.
Is it possible to automatically validate every page whenever I build my pages?</p>

<p>P.s.: This page doesn't validate ;)</p>

You can download and install your own copy of the validator -
http://validator.w3.org/source/
- and invoke it locally instead of trekking out to w3.org for each page. Still, this requires piggybacking over a web server through plain HTTP or the API. For a simpler solution you may prefer to download the SP library -
http://www.jclark.com/sp/index.htm
or
http://openjade.sourceforge.net/
- on which the W3 validator is based, then invoke the command 'nsgmls' from the command line.
There are of course also many desktop HTML validators that can process a batch of HTML pages at once, which may not be automated, but would certainly be much easier than manually checking each page. For example
http://arealvalidator.com/
(Windows),
http://www.webthing.com/software/validator-lite/install.html
(Unix).