The Robot Kit documentation says to include a file called FEZ_Components_ReflectiveSensor.cs, but I can’t find this anywhere. I haven’t found it on the tinyclr.com website, or anywhere that Google reports (except for the documentation).
You’ll also need to add that file to your source tree. Right click on your project (In that tree view on the right side of VS) and hit add existing item, then browse for the .cs file.