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.
Start Visual Studio, open the solution file, and build the project.
Run the application.
Browse to a Published Map File (PMF) published from ArcGlobe to load.
Use the various globe tools to navigate on the globe.