When you develop any application in .net in Visual Studio using the FDO API you would normally reference the following dlls from your SDK bin directory.
OSGeo.FDO.dll
OSGeo.FDO.Common.dll
OSGeo.FDO.Geometry.dll
OSGeo.FDO.Spatial.dll
However, when debugging/running the application, you need to have *all* the files from the SDK bin directory in the application's output directory, otherwise things will break.
You could create a post-build event to copy these required files, or alternatively you could do this:
Right click your project and choose Add - Existing Item
Browse to your directory that contains your FDO dlls, select everything and choose Add As Link
Create a "com" directory in your project, and repeat this process for the .sql files in the "com" directory.
Now these linked files are in your project. They should have a shortcut overlay to indicate they are linked files. Select all these linked files, and set the Copy to Output Directory property to Copy Always