Do you have the paths set correctly? You need to run a visual studio command prompt to get the environment setup for visual studio.

You should have these variables set in your environment (my computer->advanced->environment variables):

Variable MSVCDir:
C:\Program Files\Microsoft Visual Studio 9.0\VC

Variable PATH:
%PATH%;C:\Program Files\CMake 2.6\bin

Variable DXSDK_DIR:
C:\Program Files\Microsoft DirectX SDK (June 2008)\

Variable VS90COMNTOOLS:
C:\Program Files\Microsoft Visual Studio 9.0\Common7\Tools\

You can run "C:\Program Files\Microsoft Visual Studio 9.0\VC\vcvarsall.bat" at the command prompt to setup the visual studio environment.

Make sure you have all the require libs installed.

Then, this is all I did (straight from the readme file):

// Started a visual studio command prompt then:
c:\lib\allegro\4.9.6\>mkdir Build
c:\lib\allegro\4.9.6\>cd Build
c:\lib\allegro\4.9.6\Build\>
c:\lib\allegro\4.9.6\Build\>cmake -G "Visual Studio 9 2008" ../

Open the visual studio project file, set to release, and built the BUILD_ALL package. 60 packages compiled successfully! Yeah!!!:D

You need to add the paths (both include and libs) to all your libraries in visual studio:
tools->options->projects and solutions->vc++ directories

Hope that helps you.8-)