Did you include it by using Nuget or use the one from this article? Usually both should work - but if you use the code from GitHub it might be that there is an error (would be new to me - but it is possible!).
Anyhow - what is the target framework of your solution?
The framework version for this is 4.0. Right now it is not possible to compile WinFormsX for a framework lower than 4, since I am using the DLR and the TPL.
I hope that this helps you - if not then please provide more information about the error, so that I can be more efficient in investigating on that behavior.