For this tutorial, we will focus on Visual Studio 32-bit for Windows only. This will keep things much more straight forward, and allow us to focus on the important thing for this tutorial - writing a game.
For this tutorial, it is recommended you download the Visual Studio 32-bit tutorial zip: orx-tutorial-vs2015-32-1.8.zip
The tutorial zip contains pre-compiled / ready to run examples complete with source, as well as the Orx library. We will use this tutorial solution as the basis for our project a little later.
Extract the Orx tutorial zip file to a new folder on your machine.
Now you have your own Orx framework library, and you've seen what's inside.
Next: Take a high level look at How Orx works.