I'm not sure of it, but the last time I tried the 2005 express beta I had to add the dev sdk's "include" and "lib" folders for the program to compile properly.
the express beta is a bitch to get going. There's a recent thread around here on it.
A decent, free, easy to set up compiler would be Bloodshed's Dev-C++ http://www.bloodshed.net/dev/devcpp.html
grab the first one that includes the Mingw/GCC 3.4.2
In the Irrlicht example folders, there are dev-c++ project files included so if you just open one of those everything should be set up for you.
When it comes time to make your own app, there are a few threads about that tell you how to set up all of your paths.
Once you make an executable with this, you need to use the Irrlicht.dll found in the \irrlicht-0.10.0\bin\Win32-gcc folder.
I just checked out that thread and i think I'll give it a shot.
Just because of the DX issue.
Not to mention that Code::Blocks will allow you to do multiple projects (if that ever becomes an issue for you)
I've really been grooving on Dev-C++, but it sounds like its time to move up.