How I got it running

My includes were fine and I was able to install the SDK correctly. However, it was still missing a “d3dx9.h” so I finally found this Download DirectX Software Development Kit from Official Microsoft Download Center
This didn’t install everything it was supposed to, but it did give me the d3dx9.h and some other related files. I include those directly into de VC++ tab, then solved for the XAudio2 as Sam showed us.
Then I got an Internal Compiler Error related to the steam_api_common.h line 156 and as someone else mentioned, commenting out that line fixed it for me.
Just putting this in here so maybe I can save someone else some time

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This is one way of dealing with the issue. I’m glad you got it sorted.