The code works. Did you read the entire post (the post with the download link)? Is Paint.Net installed in the default location (c:\program files\paint.net)?
The project is set up with a build action to copy the compiled dll to the "c:\program files\paint.net\effects" folder. If that folder is not there, you will have problems. If the folder is there, and Paint.Net is running, you will also have problems since (as Pyro pointed out) the dll will be in use by Paint.Net and therefore cannot be replaced. If you follow ALL of the instructions, then when you run your application, it will automatically copy the dll to the folder and then run Paint.Net for you, with your plugin in the menu.
If you did not install Paint.Net to the default location, then you either need to remove the build action (and manually copy the dll to the effects folder when you want to test it), or modify it to point to the correct folder based on where you installed Paint.Net.