I believe you would have to enable PGO in the application which launches it. Individual .obj, other than main(), and those for which you want PGO, don't need to have PGO, but the link and startup configuration would be important. You should also be able to run PGO without profiling .dll, then include the PGO in the final build with .dll. If your project is outside the scope of what you can get help on in the forum, consider filing an issue on premier.intel.com, even if only to clarify your issue.
