For Visual Studio you'll want to right click on your project in the solution explorer and then click on Properties.

Next open Configuration Properties and then Linker.

Now you want to add the folder you have the Allegro libraries in to Additional Library Directories,

Linker -> Input you'll add the actual library files under Additional Dependencies.

For the Header Files you'll also want to include their directories under C/C++ -> Additional Include Directories.

If there is a dll have a copy of it in your main project folder, and done.