Pro/TOOLKIT is sold as a component of Pro/ENGINEER. If your license allows, you can install Pro/TOOLKIT along with Pro/ENGINEER. There should be an option during the Define Installation Components section of the install with something like:
API Toolkits—Select this component to optionally install the files necessary to run the Application Program Interface toolkits like Pro/J.Link, Pro/Web.Link, and Pro/TOOLKIT.
Setting Up A Project
I found a tutorial on setting up a visual studio project at . I used Visual Studio .Net 2003 and had no problems.