about DirectX SDK

Actually I believe you don't have to download it any more. It comes with they system. Just download the latest version of Visual Studio and you should be good.

I have Visual Studio 2015 installed. But in the list of External Dependencies there is not any DirectX header file like d3d.h, etc.

I'm using VS 2017 and programming in DX11. This is the top of my main window file (ignore CDLString.h and CDLGameTimeer) . I basically took it from this tutorial: https://www.3dgep.com/introduction-to-directx-11/

// System includes
#include <assert.h>
#include <Windows.h>
#include <windowsx.h>

// DirectX includes
#include <d3d11.h>
#include <d3dcompiler.h>
#include <DirectXMath.h>
#include <DirectXColors.h>

// STL includes
#include <algorithm>
#include <iostream>
#include <string>

//#include "resource.h"
#include "CDLString.h"
#include "CDLGameTimer.h"

// Link library dependencies
#pragma comment(lib, "d3d11.lib")
#pragma comment(lib, "dxgi.lib")
#pragma comment(lib, "d3dcompiler.lib")
#pragma comment(lib, "winmm.lib")

Also on Visual Studio 2017 there are DirectX templates when you create your project.

DirectX is nowadays included in the Windows SDK. Visual Studio comes with at least one version of that Windows SDK.

If you want older DirectX versions you still have to get the DirectX SDK though.

Mostly no need for those though if writing new code from scratch. The only exception I know of is if you want to support Windows 7 (which still seems to be popular...). I think XAudio2 is the main problem, the version shipping with Win 8+ changed some API's, and there are compatibility issues with using the DX SDK and modern Windows SDK together so best avoid if you can.

Also you might as well upgrade to VS 2017.

I installed Visual Studio 2017. But among its templates there is no DirectX. Which options of the setup of VS 2017 must I select (during setup) so that DirectX will appeare among the templates?

34 minutes ago, Kilickaya said:

I installed Visual Studio 2017. But among its templates there is no DirectX. Which options of the setup of VS 2017 must I select (during setup) so that DirectX will appeare among the templates?

I don't remember off hand but a quick google turned up this page:

https://blogs.msdn.microsoft.com/vcblog/2017/04/11/directx-game-development-with-c-in-visual-studio/