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Follow the steps under [DirectX For Developers|http://msdn.microsoft.com/directx/].\\
Especially install also the Windows SDK. This installs the additional platforms
mentioned in this [blog|http://blogs.msdn.com/b/vcblog/archive/2010/03/02/visual-studio-2010-c-project-upgrade-guide.aspx]
under item 2.

As of 25th May 2010:
[Latest DirectX SDK|http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=2c7da5fb-ffbb-4af6-8c66-651cbd28ca15]

!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\
}}}