You should be building BUILD_ALL, but not running it, after the build is finished (successfully) you need to go into "%OGRE_HOME%\bin\debug\" and launch the sample browser in order to see the demos (which is probably what you want), also go back and read the tutorials carefully.
1. Build the project BUILD_ALL
2. (If step 1 was successful) Build the INSTALL project
3. Go into %OGRE_HOME%\bin\release\ (or debug)
4: Launch SampleBrowser(_d).exe
If the above doesn't work - you're doing the above wrong: start from scratch.
*** >------ Build started: Project: Test 123, Configuration: Debug Win32 ------
1> Test123.cpp
1>c:\users\cetex\documents\visual studio 2010\projects\test 123\test 123\include\baseapplication.h(21): fatal error C1083: Cannot open include file: 'OgreCamera.h': No such file or directory
1> BaseApplication.cpp
1>c:\users\cetex\documents\visual studio 2010\projects\test 123\test 123\include\baseapplication.h(21): fatal error C1083: Cannot open include file: 'OgreCamera.h': No such file or directory
1> Generating Code...
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========***