I was using the FXCopAddin for VS2005 but I couldn't get it to work for VS2008. The FXCopAddin didn't seem to have been updated for quite some time, and so I didn't have high hopes of it becoming compatible anytime soon. I really liked the integration that the AddIn gave me, the fact that my warnings were shown in the standard VS error window etc, so I wanted to find a similar, alternative solution.

I started with working out the command line version of what I was trying to do -
"C:\Program Files\Microsoft FxCop 1.36\FxCopCmd.exe" /c /f:"C:\Working\MyTestApp.exe" /r:"C:\Program Files\Microsoft FxCop 1.36\Rules" /consolexsl:"C:\Program Files\Microsoft FxCop 1.36\Xml\VSConsoleOutput.xsl"

Which is, basically, call FXCop (version 1.36) using the Rules dlls specified in "C:\Program Files\Microsoft FxCop 1.36\Rules", and use the XSL file in "C:\Program Files\Microsoft FxCop 1.36\Xml\VSConsoleOutput.xsl" to formulate the output.

Moving on from this, I put this working command line into the Post-build event command line as:
"C:\Program Files\Microsoft FxCop 1.36\FxCopCmd.exe" /c /f:"$(TargetPath)" /r:"C:\Program Files\Microsoft FxCop 1.36\Rules" /consolexsl:"C:\Program Files\Microsoft FxCop 1.36\Xml\VSConsoleOutput.xsl"

Where $(TargetPath) gets equated to the generated dll/exe etc in the build process.

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Behind the scenes, this gets recorded in the .csproj file as:
<PropertyGroup>
  <PostBuildEvent>"C:\Program Files\Microsoft FxCop 1.36\FxCopCmd.exe" /c /f:"$(TargetPath)" /r:"C:\Program Files\Microsoft FxCop 1.36\Rules" /consolexsl:"C:\Program Files\Microsoft FxCop 1.36\Xml\VSConsoleOutput.xsl"</PostBuildEvent>
</PropertyGroup>

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And bingo, the errors get reported into the warnings window. From here they are clickable etc.