That file includes the source code for MapWinGIS, but not all of the necessary libs, includes, and binaries for GDAL. The GDAL files are downloaded from GISInternals.
I’ve been looking for Pauls tutorial on building MapWinGIS for VS2015. I can only find his newer one, for VS2017. The differences only affect which files you download from GISInternals (release 1900 for VS2015) and where you put the files (support\GDAL_SDK\v140 for VS2015). Otherwise, the video should still be helpful.
And make sure to build the support\SupportLibs solution before building MapWinGIS (this should be covered in the video).