“No such file or directory” - can’t find include file. This is perfectly clear to me. The same goes for linker which can’t find .lib files.
If VCMI_Liblib is not created at all (compilation failed) or is created in wrong directory, you get this error.
Just navigate project settings (for each projectr, starting from VCMI_Lib) and make sure files are in specified include directories. Or, more precisely, make sure the directories are set where files are.