It doesn't matter where the examples are unzipped. When you open the example's project, make sure you upgrade the project and solution in Visual Studios 2012 ("One-way upgrade"). Then in the project add a reference to the LJDotNet.dll .NET dll in the driver folder. This part is mentioned in the README.txt. Note that you may want to copy this dll to a common and easily accessible directory and add the reference to that directory as that is where the built program will search for it.
The examples were built in an older version of Visual Studios and do not account for a default 64-bit build. If you are running the examples on a 64-bit version of Windows, it defaults to a 64-bit build (Any CPU) and cannot use the 32-bit U12 driver installed by the installer. Either go to the "Configuration Manager" and add a new x86 Platform for a 32-bit build, or install the 64-bit U12 driver:
Copy the dll to the \windows\system32 directory.
I tested the above and got the examples running with no issues in Visual Studios 2012 Express and VB .NET.