I downloaded the DirectX SDK and installed it.

I downloaded the sample at this site at Coding4Fun:
http://msdn.microsoft.com/coding4fun/gamedevelopment/beginning3/default.aspx

and when I opened the solution, I got an error saying:
"The referenced component 'DirectXSampleFramework' could not be found.

and I get several other errors about the same thing.
The other error is:
"'Samples' is not a member of 'Microsoft'.