I didn't try very hard to get the debug settings for the projects right. I didn't try at all to get the settings for MIPS and SH3 right.
Believe me, you don't want to debug on the device, use VC instead.
About the headers: You had to change the headers file include path? Odd.
About PTC: It's in Overloaded\DLL\Licensed. ZLib is there as well, and so is MikMod.
- Jacco.