Hi Jaleel and welcome to the forums! You've come to the right place for all your InfoPath questions!
Debugging an InfoPath FormCode is very powerful. To do this, in Solution Explorer, you have to highlight the correct project first. You will want to highlight the .ipproj project before pressing F5. See this diagram:
-Solution project
--- IPProj (highlight this one)
------ FormCode project
--- files
--- ...
You will get the error message you are seeing when you highlight the FormCode project. To avoid having to highlight this everytime you want to debug, right-click the IPProj and select "Set as StartUp project".
To run the form, you should open the Designer (Alt+P,H), then click Preview Form (Alt+P).
When changes to the FormCode are not reflected in the preview, this is because the new code you added did not compile. Check for compilation errors in your code, and then try the preview again.
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge