error Please #define _AFXDLL or do not use /MD[d] occurs even after making changes in Project Properties

On Visual Studio 2011, this worked for me:

Project -> "project" Properties -> Configuration Properties -> General -> Project Defaults -> Use of MFC : Use MFC in a shared DLL

(In Visual Studio 2019, the latter setting can be found in “Properties -> Configuration Properties -> Advanced -> Use of MFC“