I haven't done it in a while but as I recall sourceforge had a way to download a compressed .tar.gz of any folder. If not then I think you could use a Svn client program to get all the files.
After that you copy one of the templates folders in the sdk directory. Then open the sln file in the folder with visual studio. 2005, 2008 and I think 2010 will work. The express versions will be a problem because they don't have the needed atl libraries. You can get them in other ways, but you'll have to dig up the older posts about it.
I don't recall the direct X sdk version needed but you can find that in an older post here as well.
There used to be a wiki with info on how to make a plugin but sourceforge ate it. All that's left now are some older posts in the construct engineering forum I think.