If you use a Class (for example CFileMan) you will find the following two lines in the SDK help:
Link against: efsrv.lib
Linking error occur, when you include the first file, but forgot to add the second one to your project.
To add a library to your project insert the library's name into the project MMP file. For example:
Afterwards recreate your Visual Studio workspace with:
abld makefile vc6
If you search for "Quick reference" in SDK Help you will find the headers and their libraries. You could also search for header files, to find out which library you should add to your project.