The compiler doesn't know where to find windows.h. You can either put the whole path in front of the file name, or you can teach VC++ where to look. Eventually you'll need to link to the lib files too, so may as well configure VC++ to know where everything is...
I don't have 5.0 Express, so I can't tell you exactly what menus to look for. In my version of VC++, it's under Tools\Options. Tab over to directories, and add the include and lib directories for your SDK, and also the directories for your VC++ installation.
Here's an example, but you'll need to find the appropriate paths on your machine (hint. Just search for Windows.h, then copy the path)
Include files:
C:\Program Files\Microsoft SDK\Include
C:\Program Files\Microsoft Visual Studio\VC98\INCLUDE
(plus I have lots more)
Lib files:
C:\Program Files\Microsoft SDK\Lib
C:\Program Files\Microsoft Visual Studio\VC98\LIB
(etc.)