msdn examples

I have installed the msdn libary 2cd set with the select all options, but im not sure of how to take advantage of the many examples included... whenever i click on a "click to open or copy" link it asks me if i want to copy all (is there a way to install _all_ the examples in the hd instead?) when i copy all the files to a directory and try to run the example with VC++6 Enterprise edition it almost never compiles. What am i doing wrong?
many thanks