The Windows headers have a feature to help you target versions of the OS. Specifically, some functions and constants are only defined if you state that you are targeting (at least) the platform that they were introduced with. The idea is that you can't accidentally use newer functions and constants and break your program on older platforms, however the system is far from comprehensive.
You did the right thing by looking in the header file. If you look up from LVS_EX_FULLROWSELECT you will find its definition is only included
So to specify that you want to LVS_EX_FULLROWSELECT you can use a define above the commctrl.h include:
#if (_WIN32_IE >= 0x0300)
Some more info is available at Shell and Common Controls Versions.
#define _WIN32_IE 0x0401