This is a rough overview of one way to set everything up...

0. Update your drivers.

1. Install the NVIDIA Toolkit
The NVIDIA toolkit installs to : C:\Program Files\NVIDIA Corporation\Cg
Copy the files in (bin, include, lib) to C:\Program Files\Microsoft Visual Studio 8\VC\(bin, include, lib)

2. I use the GLUT libaries from the CG toolkit so that should be set up, but if not do the same thing with the GLUT binaries

3. Download the GLEW binaries, do the same copy them to C:\Program Files\Microsoft Visual Studio 8\VC\(bin, include, lib)

4. Copy the libs for (CG, GLUT, GLEW) to your active path somewhere (example: C:\windows\system32)
Again CG has the GLUT ones now

5. Rock and Roll...