Hello Dave,
The Sample.testsettings should be located in the root folder of your application.
You need to select "All Files" in drop-down list at the bottom right of the "Add Existing Item" dialog to see it.
If this doesn't help you can add references to CMS.DataProviderSQL.dll and CMS.FileSystemStorage.dll (located in Lib folder) instead of using Sample.testsettings.
Best regards, Michal