I had a look at the MySQL++ website and you can only download the source code, so you'll have to compile it in VS yourself.
The MySQL Devs/Oracle offer a wrapper for the MySQL C API called Connector/C++, it's not as mature as MySQL++ but it's newer and is probably updated more often.
dev.mysql.com/downloads/connector/cpp
Here is the documentation with some tutorials: dev.mysql.com/doc/refman/5.1/en/connector-cpp.html
Here is a guide for setting it up in VS: dev.mysql.com/doc/refman/5.1/en/connector-cpp-apps-windows-visual-studio.html
^ Also be sure to read the user comments on that.