In Project 2010, you have to go to the File (aka Backstage) menu. Look in Print, you will see Page Setup as a link at the complete end of the options. Rather small, but it's there. The dialog itself didn't change.
To specify which bars you want to appear in the legend, edit the bar styles (Format > Bar styles > look for the dialog button at the bottom right of the section, it looks like a right angle and an arrow). By putting an asterisk (*) in front of a bar style
name, you hide it in the legend.
Hope this helps.
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