For Visual Studio you'll want to right click on your project in the solution explorer and then click on Properties.
Next open Configuration Properties and then Linker.
Now you want to add the folder you have the Allegro libraries in to Additional Library Directories,
Linker -> Input you'll add the actual library files under Additional Dependencies.
For the Header Files you'll also want to include their directories under C/C++ -> Additional Include Directories.
If there is a dll have a copy of it in your main project folder, and done.
I would recommend putting the Allegro files in the your project folder and then using local references in for the library and header directories.
Doing this will allow you to run the application on other computers without having to install Allergo on the other computer.
This was written for Visual Studio 2008. For 2010 it should be roughly the same.