This is how you setup with VC++, but should be similiar for any other compiler.
You need to download this from Microsoft. As of 3-11-02 the latest is ver 8.1. 8.1 fixes quite a few things: Get it.
Download it, run it, install it. I recommend installing it to like D:\mssdk. There will be an option to have it update your VC++ settings. Click yes. You should now be able to go to start->programs->Microsoft DirectX 8 SDK. This has the helpfile (VERY useful, get use to using this) and some examples. If you are ever stuck and confused, I suggest going here first.
Some version of VC++ come with the DXSDK. In that case you will probably need to go to tools->options->directories and move your SDK installation path to the TOP for both include and library files. If that doesnt work, you may have to manually replace the old .h and .lib files in one of the VC++ sub directories.
A workspace contains multiple projects. Projects can be anything, from source code that gets compiled to just a collection of log files. For example you may a workspace called "Starcraft" then have seperate projects for "Starcraft Executible" "Campaign Editor" "Battle.net Server" etc all in that workspace. Anyways, it doesnt really matter because we'll only be using 1 project for this game.
So what you want to do is start VC++, file->new. Select the workspace tab. Give it a name and a location. Thats it. Then file->new and select the projects tab. You want to create a Win32 Application and make sure you check add to current workspace. You should be all set then. To add files (.h, .cpp) you will select new->file then add to current project. Pretty simple.
Once you have a project created, you must add the following libraries to your project settings. Goto project->settings->Link then under Object/Library Modules add: dsound.lib ddraw.lib DInput.lib D3D8.lib dxguid.lib WINMM.lib
Also you are going to want to make sure you keep your source files nice and orginized inside your projects. My personal coding preference is to keep the File tab open on the left-hand side window (well I keep it on the right hand side, but whatever). Then expand the source file folder. You will want to right click and select "New Folder". I keep all my graphic source files under one folder, all the input files under one folder, etc, etc. This makes it easy to jump to any source file you need to quickly.
Pretty straight-forward. Open VC++. File->Open Workspace. Find bomberman.dsw. Open it. I would click on the File-View tab on the left hand side of the screen (again on my setup its on the right hand side). You should now see all the source files to the game (expand the source files folders and their sub folders if you have to).
To compile (I would do this right away to make sure you have your include and lib settings correct) select Build->Rebuild All. Should compile everything with a couple warnings (which you can ignore). If you have problems double check your include and lib paths in Tools->Options->Directories.