The functions, like most basic API functions, are in winbase.h which is included in windows.h, so you've almost certainly got them already.
Code:
WIN32_FIND_DATA FindData;
HANDLE hFind;
hFind = FindFirstFile(SearchPath, // Search path is the directory/filemask you want
&FindData);
if (hFind != INVALID_HANDLE_VALUE)
{
// Do whatever you want with the first file
while(FindNextFile(hFind,&FindData))
{
// Do whatever with the next.. and so on
}
FindClose(hFind); // Close the find handle
}
else
{
// There wern't any files
}