You're not doing anything wrong. We just don't have proper VS2012 support baked in yet, since it came out just as we were wrapping up SE2012. I don't currently have a VS2012 handy, but I imagine the issue is that we're just not locating the VS2012 devenv path properly (if devenv is even used anymore).
When we load a Visual Studio solution, SlickEdit sets up the INCLUDE, LIB, and PATH environment variables so that correct flavor of devenv can be found for the Solution/Project version, and also point it to the proper header and lib directories.
So, in the meantime, you can launch the "Visual Studio 2012 Command Prompt" from the Start menu, which will set up the environment for you. Then launch SlickEdit from that command prompt so the environment is inherited. Then you can open up your solution and it should have all the paths set up you need to build.