[leslamarch]

If you look at this Guide, It looks like you failed on step 5.

5) Update your Microsoft Visual C+(+) 2008 Express Edition directories:
'Tools/Options/Projects and Solutions/VC+(+) directories'
and add the following directories using the dropdown "Show directories for" box:

• Include files: C:\mysql\include
• Include files: C:\perl\lib\CORE
• Include files: C:\zlib\include
• Library files: C:\mysql\lib\opt
• Library files: C:\perl\lib\CORE
• Library files: C:\zlib\lib

I would double check to make sure you have these done right.