Follow the steps under DirectX For Developers.
Especially install also the Windows SDK. This installs the additional platforms mentioned in this blog under item 2.

As of 25th May 2010: Latest DirectX SDK

Library Errors#

You can set the directories either in
a) Project-Properties
b) Property-Manager

If you have a missing lib, check
a) Verweisverzeichnisse and
b) Bibliotheksverzeichnisse

If an environbment variable is wrong, check

C:\Program Files (x86)\Microsoft Visual Studio 10.0\Common7\Tools\vsvars32.bat
C:\Program Files (x86)\Microsoft Visual Studio 10.0\Common7\Tools\VCVarsQueryRegistry.bat

Here you can see that some settings come from the registry, for example

$(WindowsSdkDir) => HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\MicrosoftSDKs\Windows\v7.1\