Microsoft Platform SDK

If you didn't pay money for your copy of Visual Studio (as in, you're using an Express Edition), you're going to have problems trying to code outside the CLR. Make sure you install the Microsoft Platform SDK if you need it. I don't quite recall if I was given the opportunity to download it when I installed Visual C++ Express Edition, but I probably was.

I guess I chose poorly.

No matter, the Microsoft Platform SDK is available for download, either as a web install (which I recommend), as a full download, or on a CD-ROM.