The installer checks the components that are missing in your system and download the all missing components. After completion of downloading process, click Finish.
You can build the application either in MonoDevelop IDE or in Visual Studio 2010. My article is not concern with building application with MonoDevelop. So I skip it.
Again navigate to Tools->Manage AVDs
Then Visual Studio provides a Sample Project for you. Debug the project and see whether there is an error.