Because sometimes Intellisense can be slow to catch up to your latest changes. it's gotten far better in more recent versions of VS. Which version are you using?

2010 has a much better implementation of Intellisense. Still not perfect but much better.

Linking to DirectX is fairly straightforward. First right click on your project and go to properties. Click the "Configuration Properties" drop down on the right panel and then select "VC++ Directories" underneath it. Add the DirectX include and binary folders to the respective lists of paths. e.g. C:\Program Files (x86)\Microsoft DirectX SDK (June 2010)\Include and C:\Program Files (x86)\Microsoft DirectX SDK (June 2010)\Lib\x86

Once you've done that click on "Linker" on the right panel and select "Input" from the list. Then you need to add "d3d9/10/11.lib" to the "Additional Dependencies" list and hit apply (You might also want to add "d3dx9/10/11.lib" too if you're using D3DX). That should be all there is to it!