2 issues. first don't use uppercase header name. it should dbghelp.cpp. another is a incorrect free

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~/toys $ clang++ -o win-ldd.exe win-ldd.cpp -O3 --target=aarch64-windows-msvc --sysroot=$MSVCSYSROOT -D_DLL=1 -lmsvcrt -fuse-ld=lld
win-ldd.cpp:8:10: fatal error: 'Dbghelp.h' file not found
8 | #include <Dbghelp.h>
| ^~~~~~~~~~~
1 error generated.
~/toys $ vim win-ldd.cpp
~/toys $ clang++ -o win-ldd.exe win-ldd.cpp -O3 --target=aarch64-windows-msvc --sysroot=$MSVCSYSROOT -D_DLL=1 -lmsvcrt -fuse-ld=lld
win-ldd.cpp:33:13: warning: 'delete' applied to a pointer that was allocated with 'new[]'; did you mean 'delete[]'? [-Wmismatched-new-delete]
33 | delete strDLLPath;
| ^
| []
win-ldd.cpp:30:34: note: allocated with 'new[]' here
30 | LPTSTR strDLLPath = new TCHAR[_MAX_PATH];
| ^
1 warning generated.

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small issues like use std::endl should be avoided too

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BTW. the performance is very slow due to std::endl i guess

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i have submitted pr to fix issues