You can also easily setup the project yourself.
- Create a new solution.
- Add "engine.cpp" to the project.
- Add "<Leadwerks Root>/CPP" as an additional include directory.
- Set working directory to "$(TargetDir)"
If you want to use LEO, then also add "<Leadwerks Root>/CPP/LEO" as an additional include directory.
Lastly, dump engine.dll, newton.dll and JointLibrary.dll in your build folder.
Make sure to register your root Leadwerks folder as an abstract path or also dump shaders.pak in your build folder.
For a guide with pics you can use this Wiki page by Roland: http://www.leadwerks.com/wiki/index.php?title=LEO_-_Visual_Studio_2008_Setup
If you don't want to use LEO, make sure you leave those steps out though.