In addition to 3run's explanations or to support his explanation with images;
After downloading Visual Studio, If you want do something that requires DirectX SDK you also need to download directx 2010 june sdk. (Click here)
After opening the "sampledll.vcproj" in the GameStudio plugin folder, you will need to make some arragment. Specifically, you will need to define the "include" and "library" paths of Gamestudio and Directx SDK. (Likewise, if you have another sdk you are using) You can do it from the Project / solution properties as 3Run said. Here are pictures about how to do it:
Now you can build the dll. I hope (:
Also don't forget to do the MT thing that mentioned in "Plugin SDK: Getting started", otherwise the dll might not work on other computers.