Could it be that you have installed a .NET only configuration of Visual Studio, or that you're missing the SDK installation?
If you can't find WINDOWS.H there's something definitely missing. (I have mine in
C:\Program Files\Microsoft SDKs\Windows\v7.0A\include\Windows.h
) If you don't have them you'll have to check your installation media, or dig around at
http://msdn.microsoft.com
Another thing: Visual Studio 10 has removed the global include/library folders, so this may also affect your compilation/linking. Instead, you have the environment variables (INCLUDE, LIB), project-specific include/lib directory specifications or a
props file to include.