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Be sure to checkout both https://github.com/coin-or/metslib and https://github.com/coin-or/metslib-examples in the same folder.
Now you should be able to load the provided Visual C++ Express solution file (metslib.sln) and compile and run the sample programs.
Please note that the preferred way to compile the library in Windows is still to use the Cygwin layer. This project files are experimental.