Building Clang on Windows: DiagnosticCommonKinds.inc header doesn't exist
It turned out that instruction at http://clang.llvm.org/get_started.html is partially misleading:
Build the "clang" project for just the compiler driver and front end, or the "ALL_BUILD" project to build everything, including tools.
Is it actually impossible to compile clang project in newly created solution, but ALL_BUILD project compiles without any problems and generates all necessary files including DiagnosticCommonKinds.inc.