After I had some linker woes using VS05 Express with Gosu 0.7.12 (which was built using VS08), I reverted the Windows version to being built by VS05, and re-released that as 0.7.12.1.

If that breaks anything on the VS08 side, let me now.

… and http://code.google.com/p/gosu/wiki/GettingStartedOnWindows finally illustrates how the setup works.