Download and extract zlib
Launch VS commad prompt: Microsoft Visual Studio 2008 -> Visual Studio Tools -> Visual Studio 2008 Command Prompt
Build:
$ cd zlib-1.2.8
$ nmake /f win32/Makefile.mscOutput in zlib-1.2.8 folder
zlib.lib <- our static library. yeah!
zdll.lib <- for dynamic linking, not using for now
zlib1.dll <- for dynamic linking, not using for now
Copy zlib.lib and zlib.h to your project. Done!