I dunno. It compiles for me (using 2008).
The only thing I can think of is that VC's headers are outdated.
Try right-clicking on COINIT_MULTITHREADED and select "go to declaration". See if it finds it.
You can also try a rebuild.
Make sure you did as the tutorial mentioned. Copying the first past into the first .cpp source file, the second into a header and the third into 2nd sound file and compile works for me.