When building a new 3ds Max plug-in, Visual Studio needs to know where to find header files and library files. You can configure this for each individual project, but it is be easier to update the Visual Studio global settings.
Go to the Visual C++ options dialog (accessed from the menu Tools > Options ...), and select 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.