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 and open the solution.
Build the solution to make the GeoprocessorEventHelper class .dll and the TestListner test application.
Right-click the project and select Set as Startup Project to ensure the TestListner project is the start-up project for the solution (notice the messages on the Output window in Visual Studio as they get fired by the geoprocessor). The application creates a random shapefile in the machine's temporary directory.