Yeah, so it sounds like you've got source code for the library, and you're trying to actually run it. Visual Studio/Visual C# Express gives you about three different ways to compile code, and that is (a) as a GUI application, (b) as a console application (in which case, the black console window will appear) and (c) as a class library. For the first two options, the end result of compiling will be an .exe file. These files have a specific starting point (the Main method) that will run when the executable is started.
A class library on the other hand, results in a .dll file instead. It does not have a specific entry point (no Main method). So, while you should be able to compile it, you won't be able to directly run it. The purpose of a DLL like this is to simply contain a bunch of code that other programs (like your game) can use as needed. Those other programs will have their own entry point, and they'll just use the code in the DLL when they need it. While I've never used JigLibX, but I'd expect it to be a class library that compiles to a DLL like this.
You can, of course, set up your game to reference a DLL. I'll get to the details of that in a second.
It sounds like you've also got the source code for this library, which will also give you a few other options for how you can access it in your game.
Reference the DLL
To use the DLL directly, go over to your Solution Explorer. At the very top, you'll see something like this:
Solution 'WindowsGame1' (2 projects)
(a bunch of other things...)
(more stuff here...)
What you'll do, is you'll right-click on References and choose Add Reference. This will bring up the Add Reference dialog.
What you do next depends on if you want to directly load the DLL, or if you want to load the source code as a project within your solution.
If you want to load the DLL directly, you would click on the Browse tab and look around for the DLL on your computer.
When this is done, you should see the name of the assembly (likely the same as the name of the DLL, without the extension) listed under the References node in your game's project in the Solution Explorer.
Reference the Source Code
If you have the source code, and you want to load the source code as a project, you will right-click on the top Solution node and click Add > Existing Project. You will then be able to browse through your system to find the *.csproj file for the library.
Once you have chosen the *.csproj file, you will see a new (third) project appear in your solution. So you'll have your main game project, your content project, and the one you added.
But you're not done, at this point. You still need to tell your main game project that it is allowed to use the code in the other (JigLibX) project. So right click on the References node under your game's project, and choose Add Reference. Click on the Projects tab, and you should see the JigLibX project listed there. Select it and press OK.
Regardless of which of these two approaches you take, you'll still need to add a using directive to your file to make use of the code (unless you really want to use fully-qualified names for everything).
See, adding a reference (either to the DLL or the project that contains the source code) simply tells your game about the library (JigLibX in this case) so that it knows where to find it. In your own game's code, you'll want to add using directives so that you don't need to always use the fully qualified names of things. (For example, the using Microsoft.Xna.Framework; line makes it so you can just reference Vector2 and Vector3 by their name, instead of always needing to use Microsoft.Xna.Framework.Vector2 and Microsoft.Xna.Framework.Vector3.
I hope that gets you going. I actually have a couple of chapters about this kind of stuff in the C# book I'm writing. (After all, this isn't really an XNA topic, it's a C# topic.) It's not currently in my C# tutorials, which is why I took the time to write up an answer here. But some of that information that is in the book but not the tutorials (possibly including this) will end up being added to the tutorials eventually.
Give some of those things a try. Let me know if you run into problems. I don't know anything about JigLibX, so I can't help you with anything there, specifically. Maybe someone else here does, though. If you're having C# or XNA specific problems, I'd be happy to help you with that.
Let me know how it goes.