I made a lot of progress. First, you need to compile HPL in debug mode. This while give you his little brother, HPLd.lib (for HPL debug I suppose). Then, you also need OALWrapper.lib in debug mode (I took the liberty to rename it OALWrapperd.lib, to make it like HPLd.lib in the penumbra files). Then, I manage to get penumbra running in debug mode, I even see the firsl "Loading...". But after a bit, Visual Studio gives me an error message:
Debug Assertion Failed!
File: c:\program files (x86)\microsoft visual studio 10.0\vc\include\vector
Expression: "Standard C++ Libraries Out of Range"&&0 (It gave me vector out of range earlier)
For more information on how your program can cause an assertion failure, see the Visual C++ documentation on asserts.
(Press Retry to debug the application)
<Abort> <Retry> <Ignore>
I think the problem comes from OALWrapper (It ALWAYS comes from it!). When I build it in Release mode it is 15,216Kb, but when I build it in Debug mode it is 3,921Kb, that's a significant difference. And if I try the Release build of OALWrapper in penumbra(debug), I get the iterator error (Which I believe means "you're mixing Release with Debug and that's bad", but I'm not sure)
By the way, to get the debugs running, make sure you copy/paste the different paths to the libs / includes as well. I did more that what you showed and It worked. Also make sure to corret the paths manually for the .\lib\OALWrapper.lib and .\lib\OALWrapperd.lib (That you make youself, as I said). You'll also need to make Penumbra load HPLd and OALWrapperd while in debug mode (Linker -> Input(debug)).
I've tested the Iterator off thing and it doesn't do anything, indeed.
(Don't give up, we'll get the Debug mode working!)