You don't need to install AGG. The AGG files used by Context Free are in the source tree in the src-agg directory.
You will need to install the QuickTime SDK for Windows from the apple web site.
The sources up on the site currently only support Visual Studio 6, but my development version uses Visual Studio 2005. Probably the thing to do is to let me push out version 2.0 release this weekend and then you can use VS2005 too.
If you are going to change the CFDG grammar (the cfdg.l and cfdg.y files) then you will need to install Cygwin so that you can compile them to new .c files. The src-win/derived directory contains the makefile for doing this and is the location where the .c files belong.