This game state demo depends on OGRE1.4.5
you can put the following *.dll(ogre SDK 1.4.5) in Debug\
CEGUIBase_d.dll
CEGUIExpatParser_d.dll
CEGUIFalagardWRBase_d.dll
cg.dll
OgreGUIRenderer_d.dll
OgreMain_d.dll
OgrePlatform_d.dll
OIS_d.dll
Plugin_BSPSceneManager_d.dll
Plugin_CgProgramManager_d.dll
Plugin_OctreeSceneManager_d.dll
Plugin_ParticleFX_d.dll
RenderSystem_Direct3D9_d.dll
RenderSystem_GL_d.dll