See
How to use ArcGIS samples
for help on compiling, setting up the debugger, and running the sample.
If the sample has associated data, you will find that the sample's zip file includes a "data" folder alongside the language folders.
However, you will need to update the sample to point to the location of the data once you have extracted all the files.
Open the CreateFileRasterMosaic solution in Visual Studio.
Review the source code and substitute the local variables with your data location.
Compile and run.
Check the output raster file. It will be a mosaic of all the raster datasets in the input folder and its subfolders.