Fire up MS Visual C# and once you've loaded the project hit F5 to debug and F6 to build the project. If an error like "blah file cannot be found under X/Y/Z Folder" pops up go to Project Tab and there change the "...COSERV {or whatever name the project has} Properties..." and point the Output to correct location.
Close that window and hit "Ctrl + Shift + O" or "File Open" and then change to the directory where you have downloaded the sourcecode files to. Next thing todo is to choose the file "CO Full Server" for instance and click open.
The topmost CO Full Server file will most likely be the Visual C# Project File and the other the Solution file. So it doesnt matter which one you'll open, they both will open the project. ;-)