Hi,
In the console program case you are using unmanaged/native C++ to call the unmanaged/native Tobii.EyeX.Client.dll, which will work fine. In the C++ Windows Forms case you are using Microsoft’s Managed extensions to C++ (MC++) and are trying to call the unmanaged/native dll from managed code which will not work out-of-the-box.
I think you should be able to use the .Net binding included in the EyeX SDK for .Net instead, when calling from MC++. Download that SDK and take a look at the minimal samples. You will need both the Tobii.EyeX.Client.dll and the Tobii.EyeX.Client.Net20.dll and use the symbols of the latter.
Included in the EyeX SDK for .Net is also an EyeXFramework.dll, which contains a Windows Forms integration which you should be able to use from MC++. Then you need to have all three dlls in your project. There are Windows Forms samples in C# included in the SDK package.