You're correct. It does not compile out of the box with Visual Studio C++ 2005 Express.
You either need the full version, or grap the Windows Platform SDK and the DirectX SDK.
Only then, it will work. And only if you have a legal copy of Windows, since MS forces you to use the WGA check.
Btw, i do know the topic is old, but in case anyone wondered. here is the sollution
