Tested with (supported compilers)

Name	Version	Actual compiler	Version	CMake command
Visual Studio 2019	16.1.3	cl.exe	19.21.27702.2	-G "Visual Studio 16 2019" -A x64
Clang (VS 2019)	16.1.3	clang-cl.exe	8.0.0	-G "Visual Studio 16 2019" -A x64 -T LLVM

Note: supports only building outside LLVM. There is no support for x86 since there is no LLVM/Clang libraries for x86.

For Clang with VS:

go to LLVM Download Page;
install "Windows (64-bit)" from "Pre-Built Binaries" section;

Installer will automatically add LLVM toolset to all Visual Studio instances you have.

Build & install Clang from sources

Needed to have Clang libraries and llvm-config.exe to setup CMake.

Installs Clang/LLVM libraries to (for example) C:\Programs\LLVM_local2.

Note:

it's important to have install path with no spaces
better to have something different from Program Files% since otherwise Administrator rights are needed to install files

git clone https://github.com/llvm/llvm-project.git
cd llvm-project
mkdir build
cd build
cmake -DLLVM_ENABLE_PROJECTS=clang ^
      -DCMAKE_INSTALL_PREFIX=C:\Programs\LLVM_local2 ^
      -G "Visual Studio 15 2017" ^
      -A x64 ^
      -Thost=x64 ^
      ..\llvm
cmake --build . --config Release --target install

You can also open build/LLVM.sln solution in Visual Studio and build everything from there instead of using cmake --build ... command.

Build insights

Assume:

cppinsights sources are in C:\dev\cppinsights and
LLVM/Clang built and installed into C:\Programs\LLVM_local2 (see step above)

cd C:\dev\cppinsights\
mkdir build
cd build
set path=%path%;C:\Programs\LLVM_local2\bin
cmake -G "Visual Studio 16 2019" -A x64 -T LLVM_v142 ..
cmake --build . --config Release --target insights

Instead of "Visual Studio 16 2019" generator with Clang, you can choose whatever works for you. See "Tested with (supported compilers)", CMake command column above.

Also, instead of building from command line, you can open build/cpp-insights.sln and have fun with VS.