Start a new C++ Project, set for Windows Application, Blank Project. Then right click on your project in the Solution Explorer and goto properties, goto Link on the left, and under input, add Additonal Libraries as needed, (opengl32.lib, etc.)
Then just #include<gl/gl.h> or whatever else you need as needed.
Windows or Console Application will do the same. If you go with console application you get a “nice” dos window, which can be handilly used for debugging. The previous poster covers everything. Apart from that if you meand write the code yourself then you either download glut which is really simple, or you can take on some simple Win32 programming.