In the saxon-resources download at
http://sourceforge.net/projects/saxon/files/Saxon-HE/9.5/saxon-resources9-5.zip/download
you will find a "build" directory containing Ant build scripts. You need to run build.xml with target "product-hen". Since the build scripts are designed to build the entire set of Saxon products, you may need to edit out parts that aren't needed. You will also have to make sure the dependencies are satisfied, in particular of course IKVMC itself.
Building Saxon, especially on .NET, is not for the faint-hearted. It can't be done within Visual Studio because VS does not support Java or IKVMC.