We get these kinds of posts alot, and some people have installations troubles they weren't aware of, others simply aren't aware the directories are off by one.
(Add a dbSetDir("..") to them all and the media is found) Sometimes the references to DarkGDK don't get set up how they were supposed to, sometimes it depends on the order of how you installed it etc.
What kind of errors you getting specifically? Like in the Error list... Ouput Window thingy?
Also... search this forum for "linker error" and "linking error" to see some stuff that might be along the lines of your issue.
DarkGDK is awesome once you get past the initial "ouch" of set up. I had to uninstall EVERYTHING... I MEAN DirectX SDK, DirectX, DarkGDK, Visual Studio, etc etc... the first time, 2nd time through worked like a charm.. though I still needed to add this line to my demo apps:
dbSetDir("..") (They got the media only one measly directory level off... simple.. but a newb wis like WTF! LOL Good Luck!)