I’ve downloaded a code example of XNA and I’ve opened the .sln file that I’ve downloaded from the site using Visual Studio 2010.
Now I have the code, but I can’t compile/debug it. Here’s a pic:

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I’m not sure what the error/problem is since it’s not obvious from your screenshot. But my first guess is that you have a content project (ShooterContent) which contains no source code as the active project. Try right clicking on the Shooter project and clicking Set As Startup Project. If that doesn’t help, try including the output from a build in your next screenshot to give some more clues.