Thank Vexal for the reply, I know most of the functions I am calling are deprecated, but I need to create an effect because I want to invoke the SetMatrixArray() function for updating the matrix array in shader as redering. Do you have any idea about updating the matrix array in shader without using an effect in Directx 11?. By the way, I have already solved a problem for creating an effect.
Solid_Spy, you need to add the path to "c:\Program Files (x86)\Microsoft DirectX SDK (June 2010)\Samples\C++\Effects11\Inc" to Include directories in VC++ Directories. For Effects11.lib (not D3DX11Effects.lib), I just compiled and copied into "c:\Program Files (x86)\Microsoft DirectX SDK (June 2010)\Samples\C++\Effects11\lib", then configured my projects for the library path.