When building a new 3ds Max plug-in, Visual Studio needs to know where to find header files and library files. You can do this for each individual project, but it should be easier to update the Visual Studio global settings. This can be done by going to the Visual C++ options dialog (accessed from the menu Tools > Options ...), and selecting in the node "Projects and Solution > VC++ Directories".

First, use the combo box under "Show directories for:" to select "Include files". Using the new folder button, add the path to the \include sub-folder of the 3ds Max SDK installation directory.

Next, use the same combo box to select "Library files". Using the new folder button, add the path to the \lib sub-folder of the 3ds Max SDK installation directory.