I decided, i will upside down the sdk_engine/afuncs.h include file, and i commented out the marked line.
What a surprise! It runs!

Another surprise the arena.wmb mentioned in the example program does not exist.
Where can i find that file?

Finally, i have found, arena.wmb is built into the acknex.dll (somehow)

But there is another problem, the program is whinning immediatly the start, it misses the viewer.c

After struggling with copy lot of include files, it turned out arena.wmb is not in the dll, so can not open.
Interesting.

Finally, somehow i induced Eclipse/GCC and 3DGS to work together.
Lesson1 and Lesson2 work well, with more or less modifications and hacks.
It turned out Lesson3 could work if Nvidia PhysX would installed.
In revealing this thing the message "Can't initialize PhysX" didn't help lot.