I just ran that example on Ubuntu with Julia 0.5.  I found I did have to 
change a few things to make it run.

export JULIA_DIR=<julia installation dir>
export JULIA_HOME=$JULIA_DIR/bin
export PATH=$JULIA_HOME:$PATH
export LD_LIBRARY_PATH=$JULIA_DIR/lib:$LD_LIBRARY_PATH

And when I compile it, I used the following statement:
g++ -o test -fPIC -I$JULIA_DIR/include/julia test.cpp -L$JULIA_DIR/lib/ 
-L$JULIA_DIR/lib/julia -lLLVM-3.7.1 -ljulia 
$JULIA_DIR/lib/julia/libstdc++.so.6

But these are for Linux, not sure if it would help you on Windows (which I 
abandoned about 10 years ago).

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