Hello! The problem is that there are too many IDE's around - several free ones for GCC, several versions of proprietary MSVC, and tens of specialized compilers for embedded systems. So instead of trying to supply examples for all of them I've tried to make ALGLIB as simple to compile as possible. Basically, you just have to add all .cpp files to your project - and that's all.
One of the problems with idea you've proposed is that sometimes it is impossible to automatically test whether some particular project file allows to compile new version of ALGLIB. Some IDE's allow you to do such things in 100% automatic mode, while another ones require you to work from GUI.
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