On http://curl.haxx.se/docs/faq.html#Link_errors_when_building_libcur we are told that "when building an application that uses the static libcurl library, you must add -DCURL_STATICLIB to your CFLAGS".
That does not work in Visual Studio; "CURL_STATICLIB" is the actual term. Additionally, CFLAGS are known as "Preprocessor Definitions" in VS.
Oh.
But note that the answer is actually for windows in general so we better provide an answer that works generically for more than just visual studio...
Thanks for the report, this problem is now fixed in the git repository.
To try it out, you either checkout/update your git clone: http://curl.haxx.se/source.html
or you try tomorrow's daily snapshot: http://curl.haxx.se/snapshots/