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The examples are designed to be built with GCC for the MSP430 (msp430-elf-gcc). You can download a build of GCC from TI's website, although you may also have a build from another location. Downloading from TI will require registering & agreeing to some export control conditions.
If you want to use an external programmer, you can also download a Command-Line MSP430Flasher program.
Currently, the provided GCC does not seem to add the MSP430 header files as a default include location. Instead you must specify the location of these files in the Makefile - on Windows for example this defaults to