In case you want to play with Lua 'stand-alone' - that is, from a command-line, you can download the precompiled binary from http://www.gammon.com.au/files/mushclient/lua.zip (181 Kb). This archive contains the following files:
122,880 lua.dll
53,248 lua.exe
16,492 lua.lib
57,344 luac.exe
143,360 lualib.dll
9,562 lualib.lib
1,877 Readme.txt
The two DLLs implement the Lua 'core' and libraries (they are the same files that ship with MUSHclient). The program 'lua.exe' is stand-alone Lua, and the program 'luac.exe' is the Lua compiler which can be used to make Lua 'binary files'. Just unzip them into a single directory which you can use for testing Lua. The .lib files are needed if you want to write your own DLLs - the export the functions needed for use in Visual C++.