Okay, I got it working. The latest DirectX(9) SDK works fine. There is no need to install one of the legacy DXSDKs. My first suspicion was that the projects were targeted for x64, and I was using the cmake GUI to generate the proj files, and noticed that the target was VS2013 64-bit. I didn't know how to change this to force 32-bit, so I just used the cmake commands mentioned in the install instructions. That got past the linker errors, except for one...
Something is setting the path to libcurl.lib to ..\lib\..\. Changing this to ..\lib\ fixed my issue. I'm not familiar with cmake, but I think maybe there's a command that's pointing the library to the wrong path?