1.Select File>New>Win32 Application, 
   and Select location and Insert Project name.
2.Select Header Files in the FileView and right-click.
   Choose Add Files to Folder...
3.Select the *.ico, *.rc,*.h to it.
4.Select File>New>C++ Source File, 
   or right-click Sources Files to import as Step 2.
5.Select Project>Setting...
6.Select tab "Link", and in "General" category, 
   change the output file name to an *.scr file.
7.At the same tab, same category, type the required *.lib files or,
   do something like this:"#pragma comment( lib, "scrnsave.lib")"
   in  the C++ Source file after declare header files.