-- REQUIREMENTS

1 Install the express edition of 2008

2 Get the Microsoft Platform SDK for Windows Server 2003 R2 - I recommend the ISO/IMG - as you can burn it to disk 
(if you want to mount it, virtual clone drive is a nice freeware disk mounter). 
Anyway the reason you need this and not the 2008 sdk is because microsoft doesn't provide the atl or mfc libraries in the 2008 sdk. 
Compiling videoInput to a lib requires that the atl library is in your search path. 
http://www.microsoft.com/downloads/details.aspx?familyid=E15438AC-60BE-41BD-AA14-7F1E0F19CA0D&displaylang=en

2 Install Directx SDK-> http://www.microsoft.com/downloads/details.aspx?FamilyID=77960733-06e9-47ba-914a-844575031b81&DisplayLang=en

3 Install Directshow SDK-> http://www.microsoft.com/downloads/details.aspx?FamilyID=8af0afa9-1383-44b4-bc8b-7d6315212323&DisplayLang=en

I used the Feb 2005 for both directx and directshow - I have had problems with later versions - so I can only gaurantee the above combination. 

-- VC++2008 SETTINGS

Tools->Options... Projects and solutions->VC++Directories as in included pictures
(obviously you can have the directories in diferent locations but make sure that the ones listed are included)
The order is also VERY IMPORTANT - make sure you have the same order

EXECUTABLE PATHS
C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Bin
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Utilities\Bin\x86


INCLUDE PATHS
C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Include
C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Include\mfc
C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Include\atl
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Include
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Extras\DirectShow\Include
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Extras\DirectShow\Samples\C++\DirectShow\BaseClasses


LIBRARY PATHS
C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Lib
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Lib\x86
C:\Program Files\Microsoft DirectX 9.0 SDK (February 2005)\Extras\DirectShow\Lib\x86 


-- LINKER ERRORS!!!!!!!!!!!!!!!:

If you get a linker error C2146 for winnt.h or error C4430 in ctlutil.h

the problem here is that this member operator function does not have a return type:

    operator=(LONG);

Change it to:

    COARefTime& operator=(LONG);


Read about it here:
http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=63785&SiteID=1


-- LINKER SETTINGS FOR MAKING STATIC LIB:

Make sure you have your Additional Dependecies in ProjectSettings->Librarian->General set to:
dxguid.lib ole32.lib  strmiids.lib uuid.lib

And Link Library Dependencies: set to yes.
When it compiles you will get a LOT of warnings but it should build fine - nice static lib. 


-- LINKER SETTINGS FOR USING COMPILED LIB

If you get an error about atlthunk.lib add this to your ProjectSettings->Linker->Command Line
/NODEFAULTLIB:"atlthunk"

I also have
/NODEFAULTLIB:"LIBCMT"  


-- OTHER DEBUGGING ---
Look through how the example apps settings are set in project properties.
Check if there is something there that you are missing from your project settings.