I don't have my Windows machine here at home, but the easiest way to correctly resolve the path to csc.exe is to set up a couple environment variables in the workspace. The workspace in SE is what would be referred to as the Solution in VStudio.
First thing, go to Project > Properties, and examine how the Compile and Build commands are defined. Most likely they are using some environment vars like FRAMEWORKDIR, FRAMEWORKVERSION, etc. If these are not defined in your system or user env vars (which they usually aren't), then right-click on the workspace node in the SE project tree window, and bring up the workspace props dialog. There's a button for Environment. Set the env vars used by the build tools to point to your .NET framework directories. FRAMEWORKDIR will be something like C:\Windows\Microsoft.NET\Framework, and the FRAMEWORKVERSION to v2.0.50727, or whatever version you're using. After setting up the environment variables, close and re-open the workspace.
That being said, the easiest way to get up and running is to create a solution in VStudio, then open the .sln file in SlickEdit. There are some VS2005 project formats that SE has trouble with, but most projects can be read in just fine.
Personally, I prefer to build "non-vstudio-projects" with NAnt or MSBuild. I have some template starter projects and build files that already have the paths and properties set up, so all I have to do is have the SE project invoke NAnt or MSBuild with the path to the .build file.