It sounds like you read the Wiki article on the
Collada Importer? If not read it. At the bottom I wrote the instructions to get the PCS2 build with Collada support running. The bottom of the page also contains the same link that is in Spicious' sig, so unless he changes that link, the wiki page should also always link to the latest version. You need to install PCS2.0.3 from the Sourceforge link on the PCS2 wiki page, replace that version's pcs2.exe with the one in Spicious' 7zip file (also copy over the wx* files that are now being included in that archive), then copy the libcollada dll file to the pcs2 folder, and finally install the VC2008 if you didn't yet, but it sounded like you already did. Now the Collada version should run, I just tested this on Friday and it worked just fine for me.