Your reply was on the mark. The program compiles when a Console Application is selected.
For the record the “.NET Micro Framework for Beginners” document does not say what type of application should be used. Hence because the “.NET Micro Framework for Beginners” says "NETMF includes an emulator that allows NETMF applications to run right on the PC. Lets create a project and run it on the emulator I concluded I should use an emulator application.