There are two options here really...
1) Simply set-up entries for the C++ directories in Visual C++ for each of the required external libraries. So you'd go to Tools (menu) -> Options... Then in the box that appears select Projects -> VC++ Directories. In here you'll need to make entries for the include directory and the lib directory for each of the dependencies (so one for xerces-c, one for freetype, one for boost...).
Or,
2) Create a dependencies directory in your main cegui_mk2 directory. Into this create a 'lib' directory for the compiled libraries, and an 'include' directory. Into the 'lib' directory, copy all the compiled *.lib files from all of the required libraries (no sub-directories). Now into the include directory, copy all of the includes for all of the required libraries - in most cases these will end up in a sub-directory, with a few free files in the top level dir. This is how the projects are currently set-up to look for the required files here.
Having written the above, solution 1 is probably much easier to set-up than solution 2.
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Also note that it is very important that each of the components is compiled using the same runtime setting. cegui and ogre both use multi-threaded dll "out of the box", the other dependencies may need to be adjusted (IIRC xerces does, boost doesn't as it compiles multiple versions, and freetype compiles multiple versions I think (unless I did it manually and forgot
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Hope this helps get you started
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CE.