Get the code
Get the code from the git repositories. First get https://github.com/uroni/urbackup_backend , then put https://github.com/uroni/urbackup_frontend_wx into a subdirectory named client. Alternatively you can run the batch script checkout_client.bat
Adjusting Include/Library paths
You have to manually adjust the include paths by changing environment variables if you put the files somewhere else. For example it expects the cURL include files in CurlIncludeDir.
The easier option is to checkout the git repository http://buildserver.urbackup.org/git/urbackup_deps into a deps folder. update_deps.bat does that for you.
If you installed Visual Studio and NSIS into the default paths the build_client.bat script may work and build you a client installer. Otherwise you will have to adjust paths in this build script.