Hello!
It seems that data sources for the layers in your project have not been properly initialized.
See a screenshot below to find steps that might help you to find an issue.

Open
Project Explorer docker window. Select one of the layers. Then, in a
property grid below click on DataSource element and check IsInitalized
property. You can also take a look at Events Log window, there are might
be some warnings.
Note, that a directory on your disk (for example, MapSurfer.NET-Examples-master\MapData\)
where shapefiles or osm files are stored, must have write permissions.
MapSurfer tries to build spatial indices and save them on a disk.