No, quite a few folks use OpenGL and DirectX (as you said, you're having problems compiling both). I think what this indicates is that you need to provide more information. There's nothing obvious in here that's saying to someone "ah! that's his problem!".
Whip up a short stand-alone test program, compile/link it with a standard Windows compiler such as MSVS (ditch that Ebarcadero xe4 compiler temporarily; that could be your problem), and if errors, post those along with the full options you are using to compile and link.
If you don't get any errors with a standard compiler, than you know you've isolated it to being a problem with the custom compiler you're trying to use. And then you know you need to investigate FAQs/forums/etc. for that compiler specifically.
Have you tried asking for help at the GLEW users mailinglist? Here, it is like asking the alternator guys on problems connecting engine and gearbox. Sorry for the bad analogy ;-)
Thank you sirs. Let me download msvs 2010 and try again. I will post the results. Thanks again.