Compile your project and then profile the executable as a standalone application (or other type of application, if applicable), as described here.
The navigation feature only works for own classes of solution, i.e. corresponding source files should be added to the solution. It will not be able to open source code for core classes or library classes.
When profiling applications, you usually need to browse to the related source code to understand the root of a performance problem. When it is found and located, you edit the source code to fix it.
Instead of forcing you to tell profiler where the source code of your application is located and showing the code in a feature-limited home-made editor surrogate, YourKit provides an alternative approach. When you have a method, class or field selected in the profiler UI, just click Tools | Open Declaration in Visual Studio (F7) to automatically open the underlying source code in the VS editor - the best place to browse and edit the code.
This navigation action always works on the current selection and is available in both CPU and memory views.
The integration is supported for Microsoft Visual Studio versions 2005 to 2015.