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.
hFind = FindFirstFile(SearchPath, // Search path is the directory/filemask you want
if (hFind != INVALID_HANDLE_VALUE)
// Do whatever you want with the first file
// Do whatever with the next.. and so on
FindClose(hFind); // Close the find handle
// There wern't any files