You should have a VS2008, 2010 and 2012 sln in the cocos2dx folder.
Open whichever matches your VS version.
It will open a number of projects including the cocos2dx code and either Hello or Test.
You should be able to run this solution.
You can then add your own project to the list, copying the example project.win folder to add the win specific files.
The code you write and where you write it should be the same wether using xcode, eclipse or VS.
I have my project running in all 3 and can make changes in any and it will work in the other projects.
The only thing you might have to do for each project is add any new classes.