I've linked everything that I should have, and as far as I'm aware no external files need to be brought over to my programs folders (.dlls etc). Could someone please tell me what the above mean?
I've been googling for an answer now for around an hour and can't find anything.
It means that the linker cannot find the compiled code for the function CGameObject::CGameObject(struct D3DXVECTOR3), which looks like a constructor for an object of type CGameObject.
If you wrote that function yourself, you're not linking the compiled code. If it's part of a library, you're not linking against the right library files.
Given that this happens at runtime, I suggest it's looking for a dll and not finding it.