During your installation of PowerDesigner, you can choose to install a plugin to allow you to use PowerDesigner within your Visual Studio environment. The PowerDesigner plugin for Microsoft Visual Studio and Team Foundation is available for Visual Studio 2005 to 2008.
All Visual Studio development takes place in "solutions", which contain "projects". You can create PowerDesigner models directly within a solution, or within any type of project, including the PowerDesigner-specific "modeling project".