In order to build in_vgm you need to download the source of VGMPlay and extract it to ..\VGMPlay\.
Then you can open in_vgm.dsw with MS Visual C++ to compile it.
in_vgm was made with MS VC++ 6. It should compile with later versions of MS Visual C++ too, but it will ask you to convert the project first.
To make testing easier, the in_vgm.dll gets copied to the Winamp\Plugins folder after the Debug build finished.
You may want to edit the post-build-command so that it fits with your Winamp PlugIn-directory.