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 using Visual Studio.
Build the solution.
Run the SingleLineGeocoding application.
Browse for an ArcGIS 9.3 or later locator that has been stored in a file folder.