While that SDK does indeed contain the header (Cspdk.h) it does not contain any .lib file.
Most bizarly, this SDK contains a DLL which merely has skeleton version of CPImportKey:
IN HCRYPTPROV hProv,
IN CONST BYTE *pbData,
IN DWORD cbDataLen,
IN HCRYPTKEY hPubKey,
IN DWORD dwFlags,
OUT HCRYPTKEY *phKey)
*phKey = (HCRYPTKEY)NULL; // Replace NULL with your own structure.
So ... is the CPImportKey function actually implemented by Microsoft somewhere? If so, which DLL ?