You need to follow closely the article and refer also to the source code that is linked there.
So in the article you have linked there is written for the example proto file (emphasis mine)
An HTTP rule is:
- An annotation on gRPC methods.
- Identified by the name google.api.http.
- Imported from the google/api/annotations.proto file. The google/api/http.proto and google/api/annotations.proto files need to be in the project.
With that let's look at the source code (linked in the article). For instance we have this src/Grpc/JsonTranscoding/test/testassets/Sandbox/transcoding.proto with this line
import "google/api/annotations.proto";
and the file strcuture is:

So as you can see this is just regular file in the project directory, that is imported in proto file.
Going further, let's look at csproj file if there are any special settings for files in the question
<Project Sdk="Microsoft.NET.Sdk.Web">
<PropertyGroup>
<TargetFramework>$(DefaultNetCoreTargetFramework)</TargetFramework>
</PropertyGroup>
<ItemGroup>
<Protobuf Include="greet.proto" GrpcServices="Server" />
<Protobuf Include="transcoding.proto" GrpcServices="Server" />
<Reference Include="Grpc.AspNetCore" />
<Reference Include="Microsoft.AspNetCore.Grpc.JsonTranscoding" />
<Reference Include="Microsoft.AspNetCore.Grpc.Swagger" />
</ItemGroup>
</Project>
As you can see nothing extra needs to be set for those files, there are only configuration for proto files that you create.
So to sum up: get files from the example project that is linked, download or copy those files in your project and then you must reference them from your proto files.