That sounds like it is running how it is meant to, the fact it exited with code 0, means that it exited properly with no errors, the DLL list is normal, any windows program will load a bunch of DLL's like that to interface itself with the operating system, its nothing to worry about, until you get into optomization, then you would look at excluding as much as you can that you arent using.
The missing image will be because the sample is not finding it's media. You will need to manually copy the images from wherever they are in the folders to your project's root folder, when I installed GDK, it didnt put any of the samples media where it could be found, I had to copy a bunch of it around and change the program's code to tell it where to find it.
Running the pre-compiled examples should be fine, and usually you can find the sample media somewhere with those pre-compiled samples.
If it ain't broke.... DONT FIX IT !!!