Error Compiling ArcObjects Sample

I installed the ArcObjects SDK .NET (10.1) on my system. When I try to build the solution for the NetSimpleRESTSOE project, I get this error:

"Could not load file or assembly 'ESRI.ArcGIS.SOESupport, Version=10.1.0.0, Culture=neutral, PublicKeyToken=8fc3cc631e44ad86' or one of its dependencies. The system cannot find the file specified."

I've tried with Visual Studio 2012, Visual Web Developer 2010 Express, and Visual C# 2010 Express, but all give the same error.

Any ideas why?

Does the ArcObjects SDK .NET need to be installed on the SAME server where ArcGIS Server is installed?

Thanks...