Just going to the Source Code tab and clicking the download link on the latest change set will get you a zip file with a copy of all the sources in this project, but won't get you all of the sources you need to build the a sample solution (such as SmallBasic.sln), because it has a dependency on the CCI AST, Code and Metadata components and the XUnit testing framework. It is also a slow way of doing things because it gives you a complete copy of the tree, rather than just the latest changes.

The recommended way to download the sources is to install a Subversion client and then to do an enlistment (update) of the source tree.

Also see the how do I build a CCI sample application topic.