.NET : How to solve System.Data.Entity.DbContext Compiler Error

Recently I wanted to get a better understanding on what Entity Framework is all about. I looked for the blog posts dedicated to this topic and I found one such post with concrete example. I was eager to test the code, so I created a project in Visual Studio Express but to my surprise I was not able to successfully build the project as it gave me System.Data.Entity.DbContext Compilation Error.

It took me a while before I managed to get rid of this annoying error and I want to share the solution that worked for me so that it might also help others with the same issue.