I did all of your steps in order and it wouldn't run. Here's what the acklog said:

Log of Atari Lite-C 1.10.2 run at Mon Dec 01 16:47:55 2008
Jake on Windows NT/2000/XP version 6.0 Build 6000
Options test.c -eq -diag -te

App C:\Program Files\Lite-C\acknex.exe in C:\Users\Jake\Desktop\
MM mixer opened
DSOUND device opened
DI interface opened
Start Window opened
(c)Conitec . Dieburg . San Diego . www.3dgamestudio.com
Atari Lite-C - Free Edition V1.10.2 - Jul 10 2008
Development version

Mouse found
Speakers (Realtek High Definition Audio) opened
Mobile Intel(R) 965 Express Chipset Family pure T&L device 1ff9 detected
D3D device Mobile Intel(R) 965 Express Chipset Family 1ff9 selected.
PATH C:\Program Files\Lite-C\code\
Compiling TEST.C - [Esc] to abort..
Error in 'MAIN' line 1: Include file acknex.h not found

< #include "acknex.h"
>

Error in 'MAIN' line 4: 'printf' undeclared identifier

< printf("It's working! :-)");
>
.. 0.003 sec
Can't compile TEST.C
Startup failure - any key to abort