The error comes from the linker. The source has compiled okay, so that the header file has been found. Possible causes for the error:
(1) The library has not been found. How did you add the library to the linker settings? Use the "..." and add using the Open File dialog. This will ensure that add the library along with the path and drive. Also, you will be sure that the library is there.
(2) The library does not contain RP_OpenDIO(), at lest, it does not contain it for your compiler and linker. This can be caused by different name mangilg used by the compiler that compiled the library. Look at the hex listing of the library and search "RP_OpenDIO@8". It must not be "_RP_OpenDIO@8" or "RP_OpenDIO_@8" or something similar.