You'll find Visual Studio project files in sub directory win. Open workspace yazxx.dsw which includes the following projects:
Builds the yazxx.dll.
Builds the sample client yazmyclient.exe.
Builds the sample server yazmyserver.exe.
Builds the proxy yazproxy.exe.
Builds the ZOOM C++ demo client zoomxxclient.exe.
By default, the include path and library path for the projects assumes that YAZ is located in ..\yaz (i.e. same prefix as the YAZ++ source). If YAZ is in a different directory you'll have to modify the include path in Project | Settings | C/C++ | Preprocessor | Additional include directories and library path in Project | Settings | Link | Input | Additional library path.