You're doing it all wrong.
First you'll need to add the references to the appropriate compiler assemblies.
Roslyn.Compilers.dll
Roslyn.Compilers.CSharp.dll
Add any using
lines you may want.
using Roslyn.Scripting.CSharp;
Then create the engine, your session and run your code.
var engine = new ScriptEngine();
var session = engine.CreateSession();
session.Execute("using System;");
session.Execute("for (int i = 0; i < 10; i++) Console.WriteLine(i);");