This tip is specific for Visual Studio 2008.
You can easily find the samples that have been installed for Visual Studio by going to Help-Samples. Then in the browser, click on the local Samples folder link.
As the message box states, the samples are in a .zip file, so you’ll need to extract these files before you attempt to build. Otherwise, the build will fail, and you’ll wonder why the samples that came with the product don’t work.