Create a new Windows Application.
Include the twgui/source/include directory: because there, the allegro header file is located.
Include twgui.h in your program
Include the libraries alld.lib (in debug mode; alleg.lib in release mode), audiere.lib, libfreetype.lib and twgui.lib. Also, ignore LIBCMT.
You need alld42.dll or alleg42.dll (required by allegro), audiere.dll, zlib1.dll and freetype6.dll to run the program (these are included in the example directory).