@LostInTheDark If you have made a new project (and not used the solution Redux made), you need to include the DirectX SDK. (If you don't have it, you need to download and install it first).
I got Visual 2010 so if you have another version, it might be slightly different but should probably be about the same.
*Click project, then your projects properties. Choose configuration properties, then VC++ Directories
*On include directories, you need to add a new directory. On my machine it's something like c:\program files x86\Microsoft DirectX SDK June 2010\include
*On library directories, add the same path but Microsoft DirectX SDK\lib instead
Now it should compile properly.