Finally. I followed instructions on http://wiki.audacityteam.org/wiki/Building_Audacity_on_Visual_Studio_2015, have to made some changes (like put setup.h and setup.0 to other locations, debug version of wxWidgets will not allowed me to compile debug version of Audacity) but release versions works. I used v140_xp toolset. this was done on my Win 7 Pro 64-bit desktop computer. Then I made instalation using demo Inno Setup script (.iss file). Installed that on my old computer (XP SP3 32-bits). Started Audacity.exe and got message "Missing MSVCP140.dll". Of course because I have installed MSVCP120.dll. After that missing MSVCR140.dll, then VXRUNTIME140.dll, then api-ms-win-crt-runtime-1-1-0.dll so I quit and installed vc_redist.x86.exe and audacity.exe start to work. As I can see, there are only two run-time libraries from VC++ 2013. Does anybody knows which libraries are needed from VS 2015? Microsoft has two separate redist files for VS2015: vc_redist.x64.exe and vc_redist.x86.exe.
Thank you Gale for your answer. I just want to be of any help. I tested this Audacity.exe on Windows 10 and it works (again I have to install vc_redist.x86.exe separately), this time missing MSVCR140.dll and VXRUNTIME140.dll. Never mind, maybe this time you will have to include whole redist in installer, not just two MS VC++ lib (dll).