I was tinkering this weekend with the new C++ compiler and wanted to try out the samples from the DirectX SDK April 2005 Sample Browser.  Of course, the April 2005 SDK wasn't written for Visual Studio 2005, so here's a couple of simple steps to make things work:

1. Add correct references for your headers/libraries:
• Select Tools-> Options->Projects and Solutions-> VC++ Diretories
• In the "Show directories for:" dropdown, pick "Include files"
• You will see a list of directories there.  Verify that "$(DXSDK_DIR)include" is in the list.  If not, add it (click on the little "Folder" icon to add a new entry)
• Now, in the "Show directories for:" dropdown, pick "Library files"
• You will see a list of directories there.  Verify that "$(DXSDK_DIR)lib\x86" is in the list.  If not, add it (click on the little "Folder" icon to add a new entry)
2. Pick the sample you want to install (I tried this on EmptyProject, Blobs, and CustomUI)
3. After installing the project from the DirectX Sample Browser, double click  the <Project>_2003.sln file to launch Visual Studio and run the conversion wizard.
4. You should have a successful build and be ready to roll, but you might also encounter fatal linker errors (CVT1100 and LNK1123).  If you get these messages, remove the .manifest and .rc files from your "Resource Files" project directory and try again.

Have fun!