You just need to set up your project so that it knows where the SDK libs and headers live. Go to Project...Settings... and click the C/C++ tab. Choose Preprocessor on the Category drop down. In the text field under Additional include directories type in the path where your DirectX include files are, probably C:\DXSDK\include.
Now, click the Link tab and choose Input in the Category drop down. Under additional library path, type in the path where your DirectX libs are, probably C:\DXSDK\lib. OK, you should be in business now!