How to fix "no such name or directory" error

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C++

when compiling code


#include "WinHttpClient.h"

// Set URL.
WinHttpClient client(L"http://www.codeproject.com/");

// Send HTTP request, a GET request by default.
client.SendHttpRequest();

// The response header.
wstring httpResponseHeader = client.GetResponseHeader();

// The response content.
wstring httpResponseContent = client.GetResponseContent();

// The response content.
wstring httpResponseContent = client.GetResponseContent();

from A Fully Featured Windows HTTP Wrapper in C++[^]; get the error "..\..\ThirdParty\ATLRegExp\atlrx.h: no such file or directory". the atlrx.h is at the ThirdParty\ATLRegExp\ path.

What I have tried:

copied the atlrx.h to the same folder that the .cpp file to compile is, but still same result. Using Dev-c++ 5.6.3 compiler.