For VS2010, you can set the dictionary by editing your .vcxproj file and pasting this:
<ItemGroup>
<CodeAnalysisDictionary Include="c:\temp\mydictionary.xml" />
</ItemGroup>
Modify the path to your dictionary.
To make this a permanent setting for all your C++ projects, navigate to c:\program files\msbuild\microsoft.cpp\v4.0 and edit Microsoft.Cpp.props, pasting the above (make a backup please).
To verify that the change is effective, use Tools + Options, Projects and Solutions, Build and Run, MSBuild project build log file verbosity = Diagnostic. Rebuild your project, look in the .log file and verify that fxcopcmd.exe got started with the /dictionary option.
Both approaches worked well on my machine.