HDF5-1.6.2 was successfully built and tested using Managed Extensions on 
the C++ projects.

The steps to do this are:

Download hdf5, unzip it.  Unzip windows "all.zip" file into hdf5 folder.
Open all.dsw, let Visual Studio convert the project files.

Trying to compile at this point will generate a number of errors as the
projects try to link to libm.lib.  Fix this by telling each project that
complains not to link to libc.lib, libm.lib, or libirc.lib: go to
Properties->Linker->Input->Ignore Specific Library and enter libc.lib;
libm.lib; libirc.lib.

At this point, HDF5 should build without errors.  Now turn on Managed
Extensions in all of the cpp projects: go to Properties->General
and set Use Managed Extensions to "Yes."

Trying to compile at this point should generate a number of new errors.
The first one is a complaint about the /RTC1 (Run-time
checking) flag being incompatible with the /clr flag.  Turn off run-time
checking in each individual source file in the projects that are
generating the errors (changing project settings will not change settings
in the files because of a bug in VS 2003).  Go to the file
properties->C/C++->Code Generation->Basic Runtime Checks and set it to
Default.

Next, there were errors because of the precompiled headers (/YX flags).  Turn
these off in project properties->C/C++->Precompiled Headers by setting
"Create/Use Precompiled Headers" to "Not Using Precompiled Headers."

Then some more errors occur which don't occur when compiling in the
development branch, relating to multiply defined symbols in libcd.lib and
libcmtd.lib.  The problem here is that some of the projects are set to use
libcd.lib and some try to use the multi-threaded library libcmtd.lib.
Since the CLR does not support the single-threaded library, all the
projects will have to be compiled using libcmtd.lib.  To change the
setting for a given project, go to Properties->C/C++->Code Generation and
change Runtime Library to "Multi-threaded Debug (/MTd)."

The errors should occur for the projects dsets_cpp, dsets_cppdll, and
testhdf5_cpp.  These projects need to use the multi-threaded library and
so do all of the projects they depend on: hdf5_cpp, hdf5_cppdll, and
libtest, along with the dependencies' dependencies.  Essentially, the
projects will stop generating errors when they are multithreaded and every
project they depend on is also multithreaded.

Of course, now every project that uses the single-threaded library will
break when it depends on a multi-threaded hdf5 project.  You should have a
host of new library errors.  Fix these by setting all of the projects that
complain to use the Multi-threaded Debug library.

Even more errors should appear as symbols included from LIBCD.LIB conflict
with symbols from LIBCMTD.LIB.  Exclude libcd.lib from these projects by
going back to Properties->Linker->Input->Ignore Specific Libraries and
adding libcd.lib to the list.

Now testhdf5_cppdll will complain about a number of unresolved tokens.
This is because when the /clr flag is set, hdf5_cppdll stops allowing
itself to be automatically imported into other projects that depend on it.
To restore this setting, go to Properties->Linker->General and set Ignore
Import Library to "No."

This should (finally!) resolve all of the errors.  We have successfully
(and reliably) built both the release version and the development branch
in Visual Studio 2003 using these steps.