Download C# classes generator from here: Protocol Buffers Gen
Extract files to your local drive
Download the latest version of Trading API .proto sources from our github repository: connect-protobuf-messages
Put them to the same location you have extracted the files in step 2
Execute ProtoGen.exe protofile.proto -output_directory=C:\output_folder --include_imports for all .proto files
Copy newly generated files to your project. Alternatively you can create a class library project within your solution and copy the .cs files there.
Link the .cs files to the project adding them to it and/or setting dependencies between your project and the proto library project (in case you have created the library). Add Reference of the Class Library project (if you have it) to your main project.
Add Reference on "Google.ProtocolBuffers.dll" to the Class Library project (or your main project if you do not have the Class Library project)
Just open and build it using MS Visual Studio 2013.