Thank you for the post.
You should have received a DVD when you purchased the Geocoder. (We sent it on march 22, 2011) It contains the data files for the entire country and the installer only installs data for Chicago to keep the installer size small.
You need to copy the data from that DVD, extract it and then change the path in the Geocoder samples to the folder that contains the data from the DVD.
If you have any question please let us know.