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 compile the program.
Start ArcMap, click the Customize menu, then click Customize Mode.
Select the Commands tab, choose the Developer Samples category, then select the appropriate Display Feedback sample.
Click the tool, then click and drag a rectangular element onto the map.