I am brand new to OpenCV and have been trying to set it up in Visual Studios 2010 Ultimate. I have followed the documentation exactly, and linked the files as it said. Here
shambool in another thread just pointed that you should maybe read this.
I ran into the same problem and found that I was targeting a 32-bit platform. The answer was to change my project to target x64. The instructions are located at: http://msdn.microsoft.com/en-us/library/vstudio/ms185328.aspx.
I also found the reference listed above by chaiy was very useful. Here it is again: http://docs.opencv.org/trunk/doc/tutorials/introduction/windows_visual_studio_Opencv/windows_visual_studio_Opencv.html#windows-visual-studio-how-to