Today I tried Kmdf for the first time. I spent whole day to run KmdfHelloWorld example.
These are what I did to run.

• I personally recommend WDK 8.1. With that, you can make the driver compatible with most of recent versions. From Vista to 8.1.

• To connect with host OS when you use VirtualBox, must install VirtualKD.
  But it only works with VirtualBox 4.1.24, so download the 4.1.24 version.
  VirtualBox above that version, though the latest version is 5.x.x, can not be used in any way. (Lastly tested in September 2015)

• Reserve only one core. More core will cause BSOD while booting.

• Whole driver files are at solution path.

• Taking a long time to install is a normal thing.

• To connect with Visual Studio(At host OS), you need VisualDDK.

• It’s only compatible with Visual Studio 2010. So if you use Visual Studio later than 2010, you can only use kd and WinDBG.

• If you installed the driver once and can’t get the result at the msdn article, install again so you can get it.
  Last screenshot is the result I got.