There are a few steps required before any code is run. If the Data Lake Analytics Tools are not installed within Visual Studio, download themhere and install them. When the tools are installed, the menu item Data Lake appears in Visual studio. The second step is to model your PC with the same file structure as your data lake. The default location which the Data Lake tools will look for your data structure is C:\Users\<<insertyourname>>\AppData\Local\USQLDataRoot . What this means is if you have folders and subfolders created in your data lake, your PC needs to have the same structure, including the data.
There is also a way to test these jobs locally before you spend that Azure money spinning up Data Lake jobs.