I soon discover that it was possible to use PAlib with Visual c++ 2008 Express.
I notice that the step to follow was outdated.
If you want to get it work just follow that steps but with this difference:
- Set PAPATH enviorment variable to this one: <path to devkitpro>/PAlib/lib
- After the launch of the PAlib application wizard, change the makefile inside <path to PAlib application wizard>/Files/Templates/1033 with one you can find in the PAlib examples
- If you want to keep logos inside the data folder change the icon path in the make file from ICON := -b $(CURDIR)/../logo.bmp to ICON := -b $(CURDIR)/../data/logo.bmp