The PDB file is a Visual Studio specific file that has the debugging symbols for your project. You can ignore those messages, unless you’re hoping to step into the code for those dlls with the debugger (which is doubtful, as those are system dlls). In other words, you can and should ignore them, as you won’t have the PDB files for any of those dlls (by default at least, it turns out you can actually obtain them when debugging via the Microsoft Symbol Server). All it means is that when you set a breakpoint and are stepping through the code, you won’t be able to step into any of those dlls (which you wouldn’t want to do anyways).
Just for completeness, here’s the official PDB description from MSDN:
A program database (PDB) file holds debugging and project state information that allows incremental linking of a Debug configuration of your program. A PDB file is created when you compile a C/C++ program with /ZI or /Zi
Also for future reference, if you want to have PDB files for your own code, you would would have to build your project with either the /ZI or /Zi options enabled (you can set them via project properties –> C/C++ –> General, then set the field for “Debug Information Format”). Not relevant to your situation, but I figured it might be useful in the future