Using CMake is pretty straightforward. You fire up CMake-gui, open the CMakeLists.txt in kazmath, and click on configure and generate.
Then you should have a Visual Studio solution in the kazmath folder which you need to open and compile like any other program/library. Let me know if that still doesnt fix it.

Hi, I know its been a while but I never got this working. The problem seems to stem from Visual Studio not supporting c99, I managed to get it compiled using gcc but it's still not usable in VS so it doesn't really help me much. I'm sure I'm just missing something stupid.

Edit: Figured it out, had to change the properties of the project made by cmake to compile as C++ code in Properties > C++ > Advanced > Compile as.