Ok I finally got past the cmake by shear luck and alot of guessing, but it wouldn't let me post again or edit my post so i had to make a new topic. Using Visual C++ 2005 when I try and build the whole allegro i get this error a bunch of times I think its when it builds the examples.

12>LINK : fatal error LNK1104: cannot open file 'dxguid.lib'

Add the DX include and lib folders to the search list within VC.

[EDIT]
Beaten again by the Man Who Knows

ummm.... search your hard drive for where a copy might be?

if you don't have it, get the direct x sdk?

http://www.microsoft.com/downloads/details.aspx?FamilyID=529f03be-1339-48c4-bd5a-8506e5acf571&displaylang=en

I've already added the Micrsoft DirectX SDK include and lib folders in the VC++ Directories.

Include the lib/x86 folder, not the lib folder.

Ahh jeez do you ever get tired of being right thank you very much!