I looked at how to get it setup for DirectX development and these are my notes. You obviously need it and the DirectX SDK to start with.
- Setup the Platform SDK as described here here.
- Start Visual C++
- For "Project type" select "Visual C++" or "Win32" and create a "Win32 Console Application".
- When the Win32 Application Wizard comes up, make sure you select "Windows applicaiton" for the "Application type", and "Empty project" from "Additional options".
- Project->Add New Item. Select "C++ File".
- Project->Properties. Configuration Properties->Linker->Input. Add necessary DirectX libraries (ddraw.lib, dxguid.lib, etc.) to "Additional Dependencies".