dumpbincleanse is a tool to help create .lib files for .dll files created with MingW and Cygwin from Visual C++. It can also be used with Visual C++ .dll files that have no .lib file included. This only works with libraries that use C linkage. If you cannot use the library from C, you cannot use dumpbincleanse directly to use it from Visual C++.
You will need some of the basic tools from Microsoft Visual Studio to use dumpbincleanse.
Assuming you compiled or recieved some library called "a.dll", you would use the MSVC tools and dumpbincleanse like this to create a .lib file:
dumpbin /exports a.dll > a.def.raw
dumpbincleanse.exe a.def.raw a.def
lib /def:a.def /OUT:a.lib
This will create a .lib file you can use with Visual C++. You still need to get headers for it somewhere, though :)