I have download the SOIL library
http://www.lonesock.net/soil.html
for loading textures in OpenGL, however it doesn't come with a SOIL.lib file but a file called libSOIL.a
and it says I need to compile it myself.
naraku9333 is probably right, I wanted to give the website the benefit of the doubt because they clearly state that it WILL work with an MS compiler but generally anything with the lib prefix and '.a' extension was built for MinGw.
To actually answer your question OP, you would start a new project and designate it as a library then copy and paste the source code in. From there MSVS will know what to do.