But how do I use it, what else is needed like device context etc
That example appears to be using the SharpDX "Toolkit" library, which provides some high level, XNA-inspired functionality. You should just need to create a subclass of the Game class to get basic functionality up and running, although this does not look promising (specifically the warning about it being non-functional).
why is the method an override
Because it's a virtual method from the base game class. Marking the method "override" is required in C# to override that virtual method; this ensures your version of the method is run when needed.
how do I load an image on every frame and dispose it on the next?
You probably don't want to do this as it will be slow. Load as many frames as you can up front, once, and simply switch the displayed image every frame. Unless those frames are dynamically generated and always unique, you don't want to throw them away until you'll never use them again (probably).