Do you have much experience with C++? If not, you may want to spend more time familiarizing yourself with the language before jumping into graphics programming. The error message seems self-explanatory: "No such file or directory". Since your compiler can't find the header file you've referenced, then you need to make sure it's in the proper directory. If it is, you'll need to instruct your compiler to look for header files in that directory. If the header is in the same directory as your source, you'll need to use quotes :
Maybe you just haven't set up the DX SDK properly.