What's most likely happening is that the code can't find your media. This is a problem I was having when I first started.
First find your project directory. For example, if the path to your solution is:
"...My DocumentsVisual Studio 2008ProjectsMyGameMyGame.sln"
then your project file should be at the following location
"...My DocumentsVisual Studio 2008ProjectsMyGameMyGameMyGame.vcproj"
Assuming you have a separate media folder, your "media" folder should be placed at the following location:
"...My DocumentsVisual Studio 2008ProjectsMyGameMyGamemedia"
Then if you have a tree model in your media folder(say "tree.x") you would load it in your code like this:
dbLoadObject("\\media\\tree.x", 1);
[Edit]
If you're not very familiar with C or C++, it's important to remember the double backslash ("\\"). The backslash character is the escape character in C/C++. This allows us to use things like "\n" to print on a new line (sorta like hitting the Enter key when typing). If you were just to use the following command:
dbLoadObject("\media\tree.x", 1);
It would assume you were using the escape characters "\m" and "\t". Even if those don't make sense it'll still try to translate them and you're path would get messed up.