MQ2Hud.ini should be in c:\MQ2 (in your setup)
Plugin files go in c:\MQ2
Macro's go in c:\MQ2\Macros
Check the date on MQ2HUD.DLL compared to MQ2MAIN.DLL Are they the same or is MQ2MAIL.DLL newer.
Have you tried doing a Clean option in the compliler then Build?
Have you pushed F11 in game?