With the DX SDK etc its a bit of a pain, cos it doesnt do it all for you, all it does is install the files. when its installed, open VS, go to Tools->Options (i think thats right) then down to Projects and Solutions -> C++ Directories. you then have to go to the includes dropdown and add the "include" directory under the directx sdk folder, then do the same thing for the libraries. It should all then work.
Some open source programs can be a bit of a pain (ala GSDX) and require a lot of fiddling due to peoples different setups, so you may need to be a little patient
