Thank you for posting your question. I will need to see if I can duplicate this and get back with you. Have you verified that you have set up your environment correctly? Take a look at: "Using the Intel AMT SDK > Linking to the Libraries > Linking to Microsoft Platform SDK Libraries" in the SDK Doc? You can view this online here: Implementation and Reference Guide.
I was able to get my Discovery Sample to compile and link. Please make sure you are using the following MS SDK: Windows Server 2003 SP1 Platform SDK Web Install.
What OS are you compiling on? I amon Windows 7. Note that you will need to add the appropriate include and library paths under "Tools" -->"Options" --> "Projects and Setting" --> VC++ Direcectories. Different OSs will put the SDK in different folders, for example, the includ file that I must add is: C:\Program Files\Microsoft SDKs\Windows\v6.0A\Include - which is different than what the Implementation and Reference guide says to use. (and so forth for the library path.) I also had to go into the following folders and do a debug build:
..\Intel_AMT_SDK_6.0_Hot_Fix_2450\Windows\Common\WS-Management\C++\openwsman (The DLL created in this project is needed for CIMOpenWsmanClient, as well.)
And then I had to add their "Debug" Paths to the Library Directories because the Discovery Sample needs to find the DLLs that are created from their builds.
To make a long story short, between following the directions in the Implementation and Reference Guide for "Linking to Microsoft Platform SDK Libraries" and the Readme file in the Discovery Sample's folder, I was able to build the sample successfully.