Mobile SDK > Salesfoce MobileSDK for Windows

Build the project normally in Visual Studio; everything should build fine. If you wish to create a new project and not use the NuGet versions of the core libraries, simply create a new project with the template, remove the NuGet reference and add references to Salesforce.SDK.Core, Salesforce.SDK.Store (for windows projects) or Salesforce.SDK.Phone for phone projects.