Again in the same project properties dialog box expand Configuration Properties -> C/C++ tab and select General. Add the location of 'src' directory to the Additional Include Directories. (This is necessary because, unfortunately, some non-system header files in the source files were included using < >) Also, add the location of the regex library that you have installed. This should contain a file regex.h.
Addition step for VS 2008, in the same project properties dialog box expand Configuration Properties -> Linker tab and select General add the location of regex library directory to the Additional Library Directories And under Configuration Properties -> Linker tab -> Input add "regex.lib" in Additional Dependencies .
That is all. Build the program (building takes some time) and run. You will see the output of example1 in the output window.
You can also build a GPSTk library in the same manner to add all the core functions to your custom programs (but this time select 'Static Library' under the 'Application Setting' in the 'Application Wizard' to build the project as a library and of course do not add any example to the project).