I downloaded the DirectX SDK and installed it.
I downloaded the sample at this site at Coding4Fun:
http://msdn.microsoft.com/coding4fun/gamedevelopment/beginning3/default.aspx
and when I opened the solution, I got an error saying:
"The referenced component 'DirectXSampleFramework' could not be found.
and I get several other errors about the same thing.
The other error is:
"'Samples' is not a member of 'Microsoft'.

Sample Framework
Chilirecords
If you check out one of the earlier articles in the series he goes over the steps for setting up the environment.
http://msdn.microsoft.com/coding4fun/gamedevelopment/beginning/default.aspx
Do a search for Microsoft.Samples on that page and you'll be in the right area.