@Arrigo's answers are quite good; I'll try to beef up his points a bit more.
Yield curves should be constructed using instruments of similar credit risks. If you're building a US Treasury yield curve, then you should use Treasury bills, notes, and bonds (although lots of people actually exclude Treasury bills because of market segmentation concerns). On the wikipedia page, they're building a USD swap curve, which should reflect credit risks embedded in LIBOR. Of course, LIBOR cash rates, Eurodollar futures, and conventional interest rate swaps are all LIBOR-based and belong to the same term structure. The choice of what instruments to use is actually art. Some market participants include EVERYTHING that has active quotes. Others use only the most liquidly traded. There's really no consensus here. In the post financial crisis world, a swap curve is built with at least the following: 1) LIBOR cash rate, 2) Eurodollar futures, 3) par swap rates, 4) fed funds futures, 5) OIS rates, 6) Libor/FF basis swaps & 7) tenor basis swaps.
These are eurodollar futures rates. They are essentially 3M Forward Rate Agreements, but not exactly the same. Eurodollar future contract is an exchange-traded product and require daily variation margins, while FRAs are OTC products. Because of this, eurodollar futures-implied rates are higher than FRA rates; this difference is known as the "convexity bias." In practice, eurodollar futures rates are used, instead of FRA quotes, since the former is much more actively traded and provide better price discovery.
Eurodollar futures are quoted as "100 – interest rate." So the first step would be do "100 – price" to get the "futures" rate. Then we make a convexity-adjustment to obtain the "forward" rate. Different shops have different models to compute the necessary adjustment. Swap rates can be used directly for curve construction.
Most of the standard swaps are actually centrally-cleared nowadays (as required by Dodd-Frank), so frankly there's not much default risk. Similarly, Eurodollar futures are traded on exchanges, and your counterparty is the exchange. Again, virtually no default risk here (unless the exchange goes under – very unlikely). Libor cash rates are not tradable.
I don't know much about C#. I'd only mention that to build a "Treasury" yield curve, you should use Treasury bills, notes, and bonds as inputs, NOT swap rates or eurodollar futures rates. The US Treasury Department builds their curves using only on-the-run issues, while the vast majority of dealer Treasury curves are built with a large number of off-the-run issues.
I also recommend that you read this post What is the Swap Curve?, which provides some color on the transition to OIS discounting. The wikipedia page you referenced desperately needs updating. It's outright wrong to use 1M and 3M libor rates in the same curve, since 3M libor is clearly riskier than 1M libor (there's a "basis" between them). Likewise, the correct discount rate for building a swap curve is NOT libor, but OIS.