Yes, this works. You need to run the Visual Studio Developer Command Prompt, go to the folder containing vcvars64.bat and run it. In my case, the folder was:
C:\Program Files (x86)\Microsoft Visual Studio\2019\Community\VC\Auxiliary\Build\vcvars64.bat
Then compile and link simple.c as found in the instructions.
Also make sure that your simple.gdns class name is all caps: SIMPLE. Any lower case letters made it not work for me.
Note that using the other Visual Studio command prompts (for example, x64 Native Tools Command Prompt), as suggested by the Visual Studio website, didn't work for me.