The reason for this error is the fact that a required file - NTWIN32.MAK is not present in the Microsoft Software Development Kit (SDK). In order to resolve the issue, re-install the SDK. The file should be found in the "Include" folder in the SDK (for example, under C:\Program Files\Microsoft SDKs\Windows\v7\Include).
Note that in order to build 64-bit binaries, the "x64 Compilers and Tools" and Microsoft Windows Software Development Kit (SDK) must both be installed. The x64 Compilers and Tools are not installed by default.
Follow steps mentioned in the Related Solution titled "How can I set up Microsoft Visual Studio 2008 Express Edition for use with MATLAB 7.7 (R2008b) on 64-bit Windows XP?" to set up 64-bit Visual Studio 2008 Express.
Without these packages, Visual Studio can build simple C/C++ applications as 32-bit binaries compile and execute as expected. However, Visual Studio cannot build the 64-bit binaries MATLAB requires.
The issue might also be solved by configuring the C++ compiler: mex -setup C++.
