As a recent "convert" myself I would highly advise that you start out with iPlug2, not iPlug1. There is much more documentation and help over on the iPlug2 forums, GitHub and Slack to get you going. See the iPlug2 sticky on this forum. Start by building the IPlugEffect example project and then use it as a template.
In the meantime, to answer your immediate question, it appears you may be missing the required SDK - which means you haven't set up iPlug completely. You need SDKs for all the different plugin types you intended to build (AAX, VST3, etc.). You have to get the AAX SDK from Avid. The Steinberg SDKs are available here:
https://developer.steinberg.help/display/VST