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 solution file in Visual Studio.
Modify the data paths to your input data path and output geodatabase.
Run the sample.
Browse to the output geodatabase and refresh the connection. The new raster catalog with all the rasters from the input directory appears.