Game build failed and I have no idea why

A linker error is a project error not an engine error. It just can’t find the lib because you have not specified the directory to where it is. The linker needs this information to add and link in the library during compile time.

As for the exact whereabouts of the delayimp.lib file it depends on where you have it (you seem to be referencing it somewhere in the project so I’m guessing you have the file on your drive somewhere).