I think the problem stems from using VS 2005 with the samples. There seems to be some confustion, and I've got my own. The latest DirectX SDK includes Managed DirectX based on the .Net CLR 2.0 that ships with VS 2005. But Tom Miller indicated that it only works on VS 2005 Beta 2.

So, the safest bet is to install the DirectX SDK PRIOR to the latest version (latest is Oct-2005, I believe) and use VS 2003.

Otherwise, wait for the next SDK in December if you want to use VS 2005 with it. Warning, the syntax of Managed DirectX will probably have changed significantly enought so that older Code4Fun articles will no longer compile. Hopefully, they'll have updated ones by then.