If you set up your solution as a "web project" instead of a "web site", the app_code folder isn't supported as you expect. You can still use it, but the code in that folder isn't compiled automatically, and consequently won't be available in intellisense. You can fix this by clicking on the "show all files" button in the "Solution Explorer" window (if you don't already have it showing all files). Next, expand the App_Code folder and the CustomerOrders.xsd. You should see a file named "CustomerOrders.designer.
vb" (or CustomerOrders.designer.cs if you're working with C#). Right click on that file and select "Properties". In the Properties window, set the "Build Action" property to "Compile". That should make the classes (at least the "public" ones) available to the rest of your project and intellisense.