I've just downloaded the .NET samples from SDK, I tried the AlarmWPF sample but it asks me for a Server Connection....which kind of server? is this a part of the SDK or have I to download something else?

All samples interact with XProtect, you will need some sort of test installation of XProtect as a minimum. If you already have this and see issues please describe your setup.

If you work with .Net I recommend the Alarm and Event Viewer sample instead.