In Section 4.1: It mentions: Add a reference to Microsoft.EnterpriseManagement.CompositionEngine and Microsoft.EnterpriseManagement.Presentation.Core assemblies. These can typically be found in the Console folder of the Operations Manager installation. Attention: the assemblies from the RTM/CU1 installation will not work! You need to download the sample project files and use the included assemblies.
The important bit is the bit in bold, you need to download the sample project and copy the references from there. Were you doing this?
http://gallery.technet.microsoft.com/Creating-a-Widget-for-104711ac
If you download this zip and go to the following sub directory
\Creating a Widget for Operations Manager Dashboard - Walkthrough %231.zip\Creating a Widget for Operations Manager Dashboard - Walkthrough #1\Section_4\AlertSummarySilverlight\Bin\Debug
You'll see the two assemblies in this folder. Copying them out of the zip into another folder and add a reference to them. This works for me in Silverlight 5.