Hmmm - maybe you need to run the GenerateProjectFiles.bat file so that the build tool will see the 3DxWare files in your ThirdParty directory?
Oh - and just in case maybe you need to create a 3DxWare.Build.cs file in your Engine\Source\ThirdParty\3DxWare directory first, with the following inside it:
// Copyright 1998-2015 Epic Games, Inc. All Rights Reserved.
using UnrealBuildTool;
public class ThreeDxWare : ModuleRules
{
public ThreeDxWare (TargetInfo Target)
{
Type = ModuleType.External;
string ThreeDxWareSDKDir = UEBuildConfiguration.UEThirdPartySourceDirectory + "3DxWare";
// Ensure correct include and link paths for xinput so the correct dll is loaded (xinput1_3.dll)
PublicSystemIncludePaths.Add(ThreeDxWareSDKDir + "/Inc");
if (Target.Platform == UnrealTargetPlatform.Win64)
{
PublicLibraryPaths.Add(ThreeDxWareSDKDir + "/Lib/x64");
}
else if (Target.Platform == UnrealTargetPlatform.Win32)
{
PublicLibraryPaths.Add(ThreeDxWareSDKDir + "/Lib/x86");
}
PublicAdditionalLibraries.Add("siapp.lib");
}
}
And then run GenerateProjectFiles.bat. It will probably recompile the whole engine though.