I know this is alluded to in the sticky by referring to the following link, which has 5 very important steps:
http://msdn2.microsoft.com/en-us/express/aa700755.aspx
However, when you go to this URL, it just takes you to the main C++ EXP page. There is a gray menu bar at the top of the page with a menu item that says:
"Using the Platform SDK."
Follow that link to the pot of gold. You absolutely must do these five things to make it work. It took me an hour to find it the hard way, so I thought I'd point it out for others like me who need a searchlight and bullhorn to see and hear what folks are trying to say. :o