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.