#include<windows.h> not there

Hi, i've started c++ and when i go to build a .exe the compiler says that it can not find the header windows.h. i am using microsoft visual C++ 2005 express edition and have direckx9 sdk insalled. from what i have been abble to find windows.h is included in both. i'm new to C++ and windows programing so does any one know what the problem is or were i find out more?

Thanks

Thanks, i found out that the SDK is a seperate down load. things are working ok now.

I have been using visual C++ becase i was told that other compilers did not work with direcx. is that true?