PXLua sdk is all you need if you want to write or compile a extension for PXLua with Borland C/C++ or Microsoft Visual C/C++.
Download from http://thewildplace.dk/
Edit: Only PXLua 5.02 is supported - A new one for the new PXLua 5.1 will come soon
Updated (0.3.5.1c) PXLua sources, PXLua.lib included.
PXLua 5.0.3 (http://www.ptokax.org/files/PXLua-5.0.3-src.7z)
PXLua 5.1.1 (http://www.ptokax.org/files/PXLua-5.1.1-src.7z)