Do you really want to still be using the DXSDK from June 2010?

The Windows SDK (you have 16299.0) already has all the DirectX headers and libraries in it, so why not use that instead?

XNAMath now lives under the name "DirectXMath", also in the Windows SDK. It should just be a drop-in replacement by-and-large.

Back when Windows 8 came out, DirectX stopped being shipped as a separate SDK and was pulled into the core Windows SDK. This means that you can possibly include two different versions of the same D3D header (which is exactly what's causing your error message). To avoid this you need to be very careful about how you include the D3D files, and you will probably also need to make sure that the legacy DX SDK is listed *before* the Windows SDK in Visual C++'s include directories. There's some information on MSDN about how to get this to work properly. This blog also has useful information about the legacy DX SDK and what its been replaced with, and also has an article that's geared towards helping you move away from D3DX so that you can drop the dependency on the old SDK,

Yeah, it's unfortunate that there was such a breaking change. It's especially unfortunate that there's still a lot of existing sample code, tutorials, and even books out there that depend on the deprecated D3DX helper libraries. We all went through this same pain 6 or 7 years ago.

On the upside, D3DX has been completely replaced with open-source alternatives, which is much better option in the long run.