I have build their solution and it works but I want to add a new project and I just can't it says
Cannot open include file: 'CL/cl.h': No such file or directory
What seems to be the problem.
Maybe there are some manual how to add a new opencl projects.
You need to set up the project properties with the correct paths etc.
In the samples you should find a template project. If not, go through the project properties for a project that works and copy them to your new project.
When I got through properties of a working project I didn't noticed anything special.
Could someone specify where and what properties I should change
These are the common things, not sure what environment you are using:
Additional Include Directories, option /I
Additional Library Directories, option /LIBPATH