From the message box, it seems that Grasshopper cannot be found. This link shows the way Grasshopper is still searched for in your system:
At the moment, as you can see, it is only searching in LocalMachine registry keys, which was meaningful only in the past. Right now, you'd have to install versions of Grasshopper for Rhino 4 or copy things around to make this work.
Rather than doing that, I would suggest to just use the result of the wizard I just ran for you. It would be better if you'd check all folders and locations listed in
C:\Program Files (x86)\Rhinoceros 5.0\System\rhinocommon.dll
C:\Program Files (x86)\Rhinoceros 4.0\Plug-ins\Grasshopper\Grasshopper.dll
C:\Program Files (x86)\Rhinoceros 4.0\Plug-ins\Grasshopper\GH_IO.dll
C:\Program Files (x86)\Rhinoceros 5.0\System\Rhino4.exe
C:\Program Files\Rhinoceros 5.0 (64-bit)\System\Rhino.exe
You can just fix these locations, if they are different on your system, with a text editor before opening the .sln file. Please check these locations for existence twice -- it's easy to miss a (x86) or anything. I do not think other changes should be necessary to compile.
I hope this helps,