SharePoint 2010 Console Application threw FileNotFoundException was unhandled

Scenario:
My colleague called me and asked to look for the error she was getting in her first SharePoint 2010 Console Application.

The Web application at http://demo/ could not be found. Verify that you have typed the URL correctly. If the URL should be serving existing content, the system administrator may need to add a new request URL mapping to the intended application.

Solution:
Simple solution, Check to make sure thats Build Target for the Project is x64 and not x86 which is default setting.

1. Right Click the Project Node > Properties
2. Under Build tab > Target should be x64

Also make sure thats there is a site collection at the url you are specifying to create SPSite object