I think there is a problem in the type of the Visual Studio project that you have created. I am not a regular user of VS, but perhaps make sure you have selected a Console Project.
Have you successfully built fuzzylite from the console? If so, then you need to add the INCLUDE_PATH, LIBRARY_PATH and library to your project, that is, “-I/path/to/fuzzylite”, “-L/path/to/fuzzylite/bin”, “-lfuzzylite”, respectively. These are in Unix mode, and you would need to find out how to correctly add them in your project properties.