Updates docs to include links to depth engine readme (#480)

docs/building.md

@@ -52,10 +52,10 @@ The following tools are required to build on Windows:
 * [python3](https://www.python.org/getit/). During the install make sure to add
   python to path.
 
-* Depth Engine. The depth engine (DE) is a closed source binary shipped with the
+* [Depth Engine](depthengine.md). The depth engine (DE) is a closed source binary shipped with the
   SDK installer. The DE binary needs to be copied to the host system and added 
-  to the path. **NOTE** *This step is not need for building, but is required 
-  running the SDK*
+  to the path. **NOTE:** *This step is not need for building, but is required 
+  to run the SDK and tests*
 
 The following tools are optional:
 

docs/testing.md

@@ -1,5 +1,7 @@
 # Testing Azure Kinect SDK
 
+To run the tests, be sure the [Depth Engine](depthengine.md) is present.
+
 ## Test Categories
 
 The Azure Kinect repo has several categories of tests: