Great.
The build.bat creates the binaries (e.g. fuzzylite.exe, fuzzylite.dll, fuzzylite-static.lib) in the bin folder (e.g. /path/to/fuzzylite/bin). You do not have use CMake any more.
The next step is to create a new VS Project and make sure you add the location of fuzzylite to the include path (e.g. /path/to/fuzzylite/), the location of the fuzzylite binaries to the library path (e.g. /path/to/fuzzylite/bin) and the binary to the linker (e.g. fuzzylite.dll).