I think you just need the common and sdk folders and everything in them. Visual studio is then needed to compile the templates in the sdk folder. Open the *.sln files with visual studio. I've used visual studio 2008 successfully, but I don't know if newer ones will work.
Once the project is open there is a dropdown to select between:
Release, runtime, debug release, and debug runtime.
Release is the edittime portion of the plugin and runtime is the one added to cc games.
I don't recall off hand where the built ctx files are put but you can find out where by poking around the settings. You can also set it to build directly in the plugins folder of construct. Just be sure to change the filename used.
You probably will want to download the other folders as well to get the source for other plugins since most of the info you'll need about the sdk will be learned by example.
Also in order to build any plugin that uses graphics or sound such as caudio2 you'll also need the directx sdk.
In short it can be done, but if you've never used visual studio or c++ before it will be a rough start.
What do you plan on doing? Python is probably much easier to work with.