You will need to download two files, the common dependencies file (containing the includes), and another file which is appropriate for your compiler (containing the pre-compiled libs and dlls).
[Edit]
These files are now published 'officially', please follow this link: Click Me!
[/Edit]
You should copy the 'dependencies' directory from the unzipped packages into your cegui_mk2 directory.
Please keep discussion, error / bug reports about these packages in this thread so I can keep track of them

Important: These packages are using FreeType 2.1.9. The project files have been updated for these packages, but will take a while for CVS to sync. In the mean time VC7.0/7.1 users may need to adjust the linker input libs to use freetype219.lib and freetype219_D.lib instead of freetype214MT.lib and freetype214MT_D.lib.