windows.h no such file or directory

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I am working on getting a new compiler and the one im looking at is MVC(not sure if the ++ are included on the end lol). Anyways, my current compiler is Dev 4.9.2 and it compiles and runs my program just fine. But when I moved the code over to the MVC and tried it, it didnt work. I got the same error multiple times. So then I downloaded Platform SDK and added in the lib,bin and include files I was supposed to. I also changed a line of code that had kerbel.lib or something like that on it(which I was supposed to do). And I still cant get it to work.

here is the error message:

 fatal error C1083: Cannot open include file: 'windows.h': No such file or directory

This is how I used it in the actual code:

#include <iostream>
#include <windows.h>

I tried changing windows.h to windows and that didnt work either. So im nnot really sure wat else to do. If someone could explain to me why it doesnt work and/or how to fix it that would be great.