I have instructions on setting up Visual C++ 2005 Express for SDL and OpenGL on my OpenGL 2D book site. I based those instructions on what I had to do to set up Visual C++ on my brother's computer running Windows XP. When I used the instructions to set up Visual C++ on my Windows Vista virtual machine, a major problem occurred. Visual C++ crashed every time I tried to add an existing file to a project. The crashes occurred because I hadn't installed the necessary service packs.
There are two service packs you must install for Visual C++ to work with Vista. The first is Visual C++ 2005 Express Service Pack 1. The second is Visual Studio 2005 Service Pack 1 Update for Windows Vista. Both of these service packs can be downloaded at Microsoft's developer site.