Yes, and I tried Visual Micro. It's a great tool but unfortunately, the Visual Micro addin doesn't work with Visual Studio C++ Express. Well... Addins are not support in Visual Studio Express actually.
Also, VC++ is only use as an Editor, it doesn't compile or upload sketches. Arduino IDE will be used for that.
I checked the playground yes... Actually, I refer to the Step 2 and Step 4 of that page in my installation guide.
Unfortunately, I didn't succeed to compile with visual studio Express yet... but i'm working on it !
I guess it should be possible to generate a make file somehow.
It think i saw something like that somewhere on the internet.
Nevertheless, you should be able to compile it with Arduino IDE 0022
To do so : Configure Arduino IDE
Under File\Preferences set the ‘Use external editor’ checkmark.So you can use Visual studio to edit and when done just Alt-Tab to the Arduino application and press the upload button to compile the latest code and upload it to the board. The Arduino program will automatically monitor for file changes so you do not need to refresh anything!
What I did pick up is that if there are more than one .pde file in the sketch directory, it only converts the main pde file and the cpp files but not the rest.