will not create compilation error in VC.
Its available in <VC_Include_Path>\GL.
In my pc GL.h and GLU.h available at
<PROGRAM_FILES_PATH>\Microsoft Visual Studio\VC98\Include\GL
And you need to add opengl32.lib and GLU32.LIB in your additional libraries path.
Under Windows, you need to statically link OpenGL32.lib (note that you still link to OpenGL32.lib if you're building a 64-bit executable. The "32" part is meaningless). Visual Studio, and most Windows compilers, come with this library.