OpenGL libraries comes with Visual Studio. So all we have to do is install GLUT. Here is a step by step procedure :
After this you should be all set to do your OpenGL/GLUT proramming. While creating a new project, you do not have to do anything special. Just create a new Win32 console application like you always do (by starting with an empty project).
Using Microsoft's Visual Studio suite, if you get an error message complaining about an inability to find a "precompiled header", you might try turning off this feature by going to the project's "properties", and under the C/C++ tab, setting the "precompiled headers" option to off. Then try to rebuild the entire project.
Try out this simple cube program which opens up a window and draws a simple red cube on the screen. More such simple programs to play with can be found at: http://www.opengl.org/resources/code/