The provided code comes with many dependencies, which are supposedly handled using premake4. On windows, I could generate a solution for Visual Studio by calling premake.exe vs2012 from the source code directory (call to more recent versions of VS did not work). I couldn't build the solution, as premake didn't populate the include, build and link directives for the dependencies. I tried to fix it, but I couldn't find a way to properly handle caffe and its dependencies. I got similar problems on linux, where I could generate a Makefile by calling premake gmake, but I had too many dependencies to fix when calling make config=debug64.
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