I suspect that you are failing to link against the usbdm DLL when building. This will result in the errors you are seeing.
Check how to add the library to the linking step for your build environment. For GCC the usual command option would be -lusbdm.4.
The log from a successful build using minGW gcc is show below. You can check the command lines against those used by your compiler.
16:53:30 **** Incremental Build of configuration Default for project USBDM_API_Example ****
mingw32-make all
c:/Apps/MinGW/bin/mingw32-make exe -f Target.mk BUILDDIR=USBDM_API_Example CDEFS='-DUSE_ICON'
mingw32-make[1]: Entering directory 'C:/Users/podonoghue/Development/USBDM/EclipseUSBDMExamples/USBDM_API_Example'
c:/Apps/MinGW/msys/1.0/bin/mkdir USBDM_API_Example
c:/Apps/MinGW/msys/1.0/bin/touch USBDM_API_Example/timestamp
-- Building USBDM_API_Example/USBDM_API_Example.o from src/USBDM_API_Example.cpp
c:/Apps/MinGW/bin/g++ -mthreads -O3 -g0 -DUSE_ICON -Isrc -MD -c src/USBDM_API_Example.cpp -o USBDM_API_Example/USBDM_API_Example.o
-- Building USBDM_API_Example/Version.o from src/Version.rc
c:/Apps/MinGW/bin/windres src/Version.rc -DUSE_ICON -Isrc -o USBDM_API_Example/Version.o
--
-- Linking Target USBDM_API_Example/USBDM_API_Example.exe
c:/Apps/MinGW/bin/g++ -o USBDM_API_Example/USBDM_API_Example.exe -mthreads -s USBDM_API_Example/USBDM_API_Example.o USBDM_API_Example/Version.o -L. -lusbdm.4
mingw32-make[1]: Leaving directory 'C:/Users/podonoghue/Development/USBDM/EclipseUSBDMExamples/USBDM_API_Example'
c:/Apps/MinGW/bin/mingw32-make exe -f Target.mk BUILDDIR=USBDM_API_Example-debug CDEFS='-DUSE_ICON' DEBUG='Y'
mingw32-make[1]: Entering directory 'C:/Users/podonoghue/Development/USBDM/EclipseUSBDMExamples/USBDM_API_Example'
mingw32-make[1]: Nothing to be done for 'exe'.
mingw32-make[1]: Leaving directory 'C:/Users/podonoghue/Development/USBDM/EclipseUSBDMExamples/USBDM_API_Example'
16:53:32 Build Finished (took 1s.670ms)