Sorry for bringing up this old thread. I've been having the same problems until I installed WMP and DX SDKs.
But, now I get two errors (and three warnings) when I try to compile the code:
Error 1 fatal error LNK1257: code generation failed MakeDefs
Warning 2 warning C4512: 'WTL::CPrintDialogImpl<T>' : assignment operator could not be generated C:\Program Files\Microsoft Visual Studio 8\WTL\atldlgs.h 2385
Warning 3 warning C4512: 'WTL::CPrintDialog' : assignment operator could not be generated C:\Program Files\Microsoft Visual Studio 8\WTL\atldlgs.h 2398
Warning 4 warning C4505: 'WTL::_AtlCreateDC' : unreferenced local function has been removed C:\Program Files\Microsoft Visual Studio 8\WTL\atldlgs.h 2173
Error 5 error PRJ0019: A tool returned an error code from "Deleting old pdb file..." StrongDC