Compiling it on windows is rather easy, However you need to configure the settings properly or it will give you headaches.
First of all do a Clean project, then unroll any changes to made to the projects inside solution. All settings must be set inside CommonSettings.prop
then I guess it would be a good idea to put your cudnn folder inside CudaToolkit installation folder. some thing like :
C:\CudaToolkit installation folder\cuda(which is the contet of cudnn package you download)
and then check your settings against mine, that would help you spot the problem :
<?xml version="1.0" encoding="utf-8"?>
<ImportGroup Label="PropertySheets" />
<PropertyGroup Label="UserMacros">
<BuildDir>$(SolutionDir)..\Build</BuildDir>
<!--NOTE: CpuOnlyBuild and UseCuDNN flags can't be set at the same time.-->
<CpuOnlyBuild>false</CpuOnlyBuild>
<UseCuDNN>true</UseCuDNN>
<CudaVersion>7.5</CudaVersion>
<!-- NOTE: If Python support is enabled, PythonDir (below) needs to be
set to the root of your Python installation. If your Python installation
does not contain debug libraries, debug build will not work. -->
<PythonSupport>true</PythonSupport>
<!-- NOTE: If Matlab support is enabled, MatlabDir (below) needs to be
set to the root of your Matlab installation. -->
<MatlabSupport>true</MatlabSupport>
<CudaDependencies></CudaDependencies>
<!-- Set CUDA architecture suitable for your GPU.
Setting proper architecture is important to mimize your run and compile time. -->
<CudaArchitecture>compute_52,sm_52;compute_50,sm_50;compute_35,sm_35</CudaArchitecture>
<!-- CuDNN 3 and 4 are supported -->
<CuDnnPath>C:\Program Files\NVIDIA GPU Computing Toolkit\CUDA\v7.5\</CuDnnPath>
<ScriptsDir>$(SolutionDir)\scripts</ScriptsDir>
</PropertyGroup>
<PropertyGroup Condition="'$(CpuOnlyBuild)'=='false'">
<CudaDependencies>cublas.lib;cuda.lib;curand.lib;cudart.lib</CudaDependencies>
</PropertyGroup>
<PropertyGroup Condition="'$(UseCuDNN)'=='true'">
<CudaDependencies>cudnn.lib;$(CudaDependencies)</CudaDependencies>
</PropertyGroup>
<PropertyGroup Condition="'$(UseCuDNN)'=='true' And $(CuDnnPath)!=''">
<LibraryPath>$(CuDnnPath)\cuda\lib\x64;$(LibraryPath)</LibraryPath>
<IncludePath>$(CuDnnPath)\cuda\include;$(IncludePath)</IncludePath>
</PropertyGroup>
<PropertyGroup>
<OutDir>$(BuildDir)\$(Platform)\$(Configuration)\</OutDir>
<IntDir>$(BuildDir)\Int\$(ProjectName)\$(Platform)\$(Configuration)\</IntDir>
</PropertyGroup>
<PropertyGroup>
<LibraryPath>$(OutDir);$(CUDA_PATH)\lib\$(Platform);$(LibraryPath)</LibraryPath>
<IncludePath>$(SolutionDir)..\include;$(SolutionDir)..\include\caffe\proto;$(CUDA_PATH)\include;$(IncludePath)</IncludePath>
</PropertyGroup>
<PropertyGroup Condition="'$(PythonSupport)'=='true'">
<PythonDir>C:\Users\4Bros\Anaconda2\</PythonDir>
<LibraryPath>$(PythonDir)\libs;$(LibraryPath)</LibraryPath>
<IncludePath>$(PythonDir)\include;$(IncludePath)</IncludePath>
</PropertyGroup>
<PropertyGroup Condition="'$(MatlabSupport)'=='true'">
<MatlabDir>M:\Apps_Installation_Folder\MATLAB\R2014b</MatlabDir>
<LibraryPath>$(MatlabDir)\extern\lib\win64\microsoft;$(LibraryPath)</LibraryPath>
<IncludePath>$(MatlabDir)\extern\include;$(IncludePath)</IncludePath>
</PropertyGroup>
<ItemDefinitionGroup Condition="'$(CpuOnlyBuild)'=='true'">
<ClCompile>
<PreprocessorDefinitions>CPU_ONLY;%(PreprocessorDefinitions)</PreprocessorDefinitions>
</ClCompile>
</ItemDefinitionGroup>
<ItemDefinitionGroup Condition="'$(UseCuDNN)'=='true'">
<ClCompile>
<PreprocessorDefinitions>USE_CUDNN;%(PreprocessorDefinitions)</PreprocessorDefinitions>
</ClCompile>
<CudaCompile>
<Defines>USE_CUDNN</Defines>
</CudaCompile>
</ItemDefinitionGroup>
<ItemDefinitionGroup Condition="'$(PythonSupport)'=='true'">
<ClCompile>
<PreprocessorDefinitions>WITH_PYTHON_LAYER;BOOST_PYTHON_STATIC_LIB;%(PreprocessorDefinitions)</PreprocessorDefinitions>
</ClCompile>
</ItemDefinitionGroup>
<ItemDefinitionGroup Condition="'$(MatlabSupport)'=='true'">
<ClCompile>
<PreprocessorDefinitions>MATLAB_MEX_FILE;%(PreprocessorDefinitions)</PreprocessorDefinitions>
</ClCompile>
</ItemDefinitionGroup>
<ItemDefinitionGroup>
<ClCompile>
<MinimalRebuild>false</MinimalRebuild>
<MultiProcessorCompilation>true</MultiProcessorCompilation>
<PreprocessorDefinitions>_SCL_SECURE_NO_WARNINGS;USE_OPENCV;USE_LEVELDB;USE_LMDB;%(PreprocessorDefinitions)</PreprocessorDefinitions>
<TreatWarningAsError>true</TreatWarningAsError>
</ClCompile>
</ItemDefinitionGroup>
<ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
<ClCompile>
<Optimization>Full</Optimization>
<PreprocessorDefinitions>NDEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
<RuntimeLibrary>MultiThreadedDLL</RuntimeLibrary>
<FunctionLevelLinking>true</FunctionLevelLinking>
</ClCompile>
<Link>
<EnableCOMDATFolding>true</EnableCOMDATFolding>
<GenerateDebugInformation>true</GenerateDebugInformation>
<LinkTimeCodeGeneration>UseLinkTimeCodeGeneration</LinkTimeCodeGeneration>
<OptimizeReferences>true</OptimizeReferences>
</Link>
</ItemDefinitionGroup>
<ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">
<ClCompile>
<Optimization>Disabled</Optimization>
<PreprocessorDefinitions>_DEBUG;%(PreprocessorDefinitions)</PreprocessorDefinitions>
<RuntimeLibrary>MultiThreadedDebugDLL</RuntimeLibrary>
</ClCompile>
<Link>
<GenerateDebugInformation>true</GenerateDebugInformation>
</Link>
</ItemDefinitionGroup>
</Project>
and finally if you want, you can download the pre-built version of caffe on windows from
here (scroll down to find the links):http://deeplearning.ir/آموزش-caffe-بخش-سوم-اینترفیس-ها-و-نحوه-اجرا/
I created them so that people can have a quick test with caffe, I tested the cpu_only version, and it works, you need to give the other two builds a try, i have'nt tested them with other graphics card (I have gtx980)