Make sure that intel compiler is selected in property section of the project. In Compiler flags ad /QxAVX.
What error does it give. Can you please paste compiler output for /QxAVX.
Make sure in VS2008 that ICL is integrated right. You can gotoTools/Options and see the paths.
It looks like to meICL and VS2008 didntintegrate proper.
Try ICL shell to compile your code. it is inprogram files/intel