I started OpenGL tutorials:
I read the stuff, but when I run the first program in Dev-C++, it says the aux.h library is "Permission Denied". I read it but I can't find a place to download the aux.h file.
I'm pretty sure its not just you. I've found the header and attached it to this post, but Im pretty sure bloodshed dev will give you that error no matter what (I personally havent been able to fix it).
It's worth mentioning that glaux.h is depreciated, that's why modern OpenGL packages don't include it.