For the MSVC (Visual Studio) build with GPU, please refer to https://github.com/Microsoft/LightGBM/wiki/Installation-Guide#windows-2
For the MSVC (Visual Studio) build with GPU, please refer to https://github.com/Microsoft/LightGBM/wiki/Installation-Guide#windows-2 ( We recommend you to use this since it is much easier).
# Install LightGBM GPU version in Windows (CLI / R / Python), using MinGW/gcc