Looks like when you add hlsl files manually to a project via Add New File it creates <FxCompile> elements in the project file, which can cause a problem, as in vs tries to compile the files itself using fxc.exe.
1>an error occurred while setting the initial search directory.
1>searches will be relative to the application's starting directory.
1>compilation failed; no code produced
We should adjust the wording in the early chapters somewhere, that this can happen and a workaround is to manually remove <FxCompile> elements from the project file.