Make sure you use a Visual Studio generator (e.g. "Visual Studio 9 2008" for VC++2008, just run cmake with no args to see a list of what your computer supports)
Have a look at lines 81 and 82: https://github.com/LB--/windows-edif/blob/add-cmake-support/Extensions/Template/CMakeLists.txt#L81
They should cause the DLL files to be placed in e.g. MFX/Extensions/ or MFX/Data/Runtime/ and the DLL files should also (in this case) be named Template.mfx, however when I build the generated projects the DLL files are not renamed and are not in the requested directories.