1- New solution Win32 "console application", (left all default settings).
2- downloaded "Gzipped source tarball" from https://www.python.org/downloads/release/python-351/
3- Extracted everything, (didn't change anything).
4- Added "pythoncore.vcxproj" in "Python-3.5.1\PCbuild" to the solution above.
5- Compiled to make sure... "python35_d.dll" and "python35_d.lib" created in "Python-3.5.1\PCbuild\win32"
6- Added the "Python-3.5.1\PCbuild\win32" to my library include folder
7- Added "Python-3.5.1\Include" to my additional include folder. (for Python.h)
7- Added "Python-3.5.1\PC" to my additional include folder. (for Pyconfig.h)
8- Added "#include "Python.h"" to my ConsoleApplicaiton.cpp
9- Compile, all good.
10- downloaded "Windows x86-64 embeddable zip file" from link above.
11- Copied the created "python35_d.dll" to my debug folder.
12- Replaced "path\\to\\python35.zip" with the full path of the embeddable zip file.

And I get the same issue.

PyErr_Print(); output.

Trackback (most recent call last):
  File "<string>", line 1, in <module>
  File "ctypes\__init__.py, line 8, in <module>
ImportError: No module named '_ctypes'

"import unittest" - works

"import winsound" - does not work, same error as above.

Please let me know if I should do anything else.