Thanks Girorio. With the header as described, I did the following simplifications to the code:

>>>>
        opt* set = 0;
        int setlen = 0;
        setlen = mo_builtin_settings (&set);
        char* monetdb_prefix = "E:\\08.Utils\\monetdb01\\monetdb01\\lib";
        setlen = mo_add_option (&set, setlen, opt_config, "prefix", monetdb_prefix);
        setlen = mo_add_option (&set, setlen, opt_config, "exec_prefix", monetdb_prefix);
        char* monet_mod_lib = "E:\\08.Utils\\monetdb01\\monetdb01\\lib\\monetdb5";
        char* monet_mod_path = "E:\\08.Utils\\monetdb01\\monetdb01\\lib;C:\\03.impl\\monetdb01\\monetdb01\\lib\\monetdb5;";
        setlen = mo_add_option (&set, setlen, opt_config, "monet_mod_path", monet_mod_path);
        char* mal_init = "E:\\08.Utils\\monetdb01\\monetdb01\\lib\\monetdb5\\mal_init.mal";
        setlen = mo_add_option (&set, setlen, opt_config, "mal_init", mal_init);
        char* sql_init = "E:\\08.Utils\\monetdb01\\monetdb01\\lib\\monetdb5\\sql.mal";
        setlen = mo_add_option (&set, setlen, opt_config, "sql_init", sql_init);
        setlen = mo_system_config (&set, setlen);
        dbh = embedded_sql (set, setlen);

<<<<<
On the execution of the last line, I see the execution window with the following error:

!MALException:malInclude:could not open file: mal_init
!MALException:malInclude:could not open file: sql
!SyntaxException:parseError:in := "00C034D0":streams;
!SyntaxException:parseError:                 ^Type identifier expected
!SyntaxException:parseError:out := "00C03680":streams;
!SyntaxException:parseError:^operator expected

Any clues on what I am missing?

Once all of this works, I would continue with the Mbedded example in the manual.

Regards,
Yuva