Well, because of UAC, one needs to change the folders and files' ACLs under "%ProgramFiles%\Microsoft SDKs\Windows\v6.0\Samples" in order to be able to create files (e.g. executables, object files, ...).

So this time I decided I would give ICACLS a try and it worked beautifully. Under the parent folder, I ran:

C:\Program Files\Microsoft SDKs\Windows\v6.0>icacls samples /T /grant:r Everyone:F

FWIW, I was running build 6.0.5824. Don’t you love command-line tools?