Hi alonso,
When you generate code in LLBLGen Pro, you first have to select the Target Framework (usually asked when you create your project, but you can change it after that as well). This refers to the O/R Mapping framework that you will use in your generate code (LLBGen Framework, EntityFramework, NHibernate, etc). For more info see Supported Mapping frameworks.
Then, when you generate code, you can choose the .net framework platform supported in your generated code. In such generation settings you can choose your .net 4.x framework. For more information see Code Generation Task Viewer.
Hope that helps