Addressed your questions by number:
1. There's a ton of examples of this on the internet, just google "UDP C++ example" and you'll get a ton of hits. Basically you just set up your socket and just start listening (UDP doesn't really have a handshake process), every packet is a set of bytes (a datagram), it's up to you to cast these bytes onto a structure that breaks it out into interpreted data.
2. You can use the Windows sockets as described in Solution 1 or you can use a third-party library. Usually third party libraries just try to make the process easier or provide cross-platform sockets. Can't help you with this particular library but looking at the error, you probably have some sort of setup problem (didn't include files you needed or something similar).
3. MSDN tells you everything you need to know.
http://msdn.microsoft.com/en-us/library/windows/desktop/ms740673(v=vs.85).aspx[
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