Make sure you include the following header before the include for afx.h
#include <winsock2.h>
The library can work with MFC, however since MFC uses it's runtimes libraries as external DLLs (we use staticly linked) - it collides.
There are three solutions:
Manually change the settings of each library.
Manually add all the relevant library files directly to your project (instead of linking with the library)
We've created two configuration for each library (MFC,MFCRelease), create those configuration in your project, and it will link correctly.