The Teensy platform from PJRC is fully compatible with the Arduino IDE, and Visual Micro shares the same configuration and tools making things simpler.
To get up and running with your Teensy for the first time please follow the manufacturer's installation guide below to add Teensy to the Arduino IDE:
https://www.pjrc.com/teensy/td_download.html
NOTE - There is also a walkthrough guide on the Arduino Project Hub, and a YouTube video of this setup, and getting the Serial Debugger running on your Teensy.
If you have already installed this for Arduino it will work with Visual Micro already, and if not, simply follow the same instructions above to install Teensy for Arduino and Visual Micro.
Further Information
PJRC Website
