Some very basic questions:
- Do you use Visual Studio 2017?
- Does your project use Platformtoolset "Visual Studio 2017 (v141)"?
- Do you build a 64 bit configuration (x64)?
- Do you use the correct include paths to the ObjectARX 2020 SDK?
- Did you make sure that no older ObjectARX SDK include paths can be used?
- If your project use Property Sheets (.props files): Are they suitable for ARX 2020 / VS2017?
From your screenshot it seems that CAdUiDialog is unknown to the compiler.
The recommended way to include ARX headers is by including arxHeaders.h. This header will include all ARX headers you need. Settnig #defines like _INC_LEAGACY_HEADERS_, _AFXEXT, _RENDER_SUPPORT_ etc controls which headers are included. This is how the CAcUiDialog headers are included by arxHeaders.h:
//----- Autodesk MFC Extensions
#ifdef _AFXEXT
#pragma warning (disable: 4275)
#include "adui.h"
#include "aduiBaseDialog.h"
#include "aduiDialog.h"
...
//----- AutoCAD MFC Extensions
#include "acui.h"
#include "acuiDialog.h"
...
#endif // _AFXEXT
Do you use arxHeaders.h in your stdafx.h?
Thomas Brammer ● Software Developer ● imos AG ● LinkedIn ● 
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