At some point, if you intend to be successful at this, you're going to have to develop some personal initiative and some resourcefulness. Missing the injunction to download the SDK is indicative; it's right in the instructions for downloading the 2005. Have you considered clicking the 'Help' button in 2005? It will allow you to search for configuration settings. One search term that happens to occur to me is "MFC." Another would be "threads." Have you considered entering "AfxBeginThread" into a Google search bar? Stuff like that. It's when you have been unable to resolve a problem after exercising due diligence (STFW, RTFM) that forums become really handy.
You can also get better responses if you include a small snippet of code that exhibits the problem. It's good to include the exact error message, as you did, and the line at which it erupted. Often, however, the error is caused by something earlier. When the compiler finally figures out the totality isn't going to be correct, it will then flag an error. Examples are missing semicolons, undefined types, etc. Information is key, both for you and for potential respondents.