In order to build amzinet.dll, it's necessary to make sure all the paths and environment variables are correctly set in the project properties. These are for both the libraries and includes. The system uses AMZI_DIR to find things, which should point to the amzi\apls directory.
For the samples, the C# sample at least needs the path to the amzi\bin directory added in the 'references' attribute. Also the target Framework needs to match the one used to build amzinet.dll. In the distribution one was set to Framework 2.0 whereas the build was made with Framework 4.0.