Setup your development environment as described here.
2. Build the example solution
In VS2010 selected New->Project
Select the WinGate Plugin Module template under Visual C++ templates. This wizard should be installed with the WinGate SDK.
Compile it.
3. Test example module
Start your local WinGate service
Run the WinGate Management Console.
Assuming you selected the default options, you should see a new item in the tree (Default name is MyItem) and clicking it should show you a simple panel.