mx-includes.zip contents go into your main include folder so for example
c:\program files\microsoft visual studio\vc6\include\mx folder

If you wish to make changes to the mxtk you'll need to play with the
source in the mxtk.zip. The resulting mxtk.lib you get needs to be linked with mdx.exe
to work properly.

Regards,
TiCaL

and put the mxtk.lib in youre lib dir for example vc/lib