How to compile step by step on windows xp?

Hello,
I would like to compile some examples of code in visual studio express 2008 c++
,but how to add api .h .c to projects, how associates sdk files from max msp jitter and quicktime to visual studio. Is it possible to have a good method step by step for making It? The max tutorial is very poor on compiler’s configuration and the little mentions on it aren’t so clear. Maybe some books exists on this topics.

Thanks