*** EDIT : 2/3/2012 ***
If you can’t find the gl.h and glu.h , install the Windows SDK. For example, for Windows 7 you can install Windows 7 SDK (7.1) This will create a directory in Program Files\Microsoft Windows SDK\7.1 where you can find the files include the OpenGL32.dll. (The directory may look different. Mine is : C:\Program Files\Microsoft SDKs\Windows\v7.1 )
I would like to talk about the instructions of installing FreeGLUT in a Windows 7 with Visual Studio 2012. The instructions are similar for older Visual Studio. Windows 8 will also be the same under this instructions.
Once you have the binaries, you need to copy the 64-bit Library freeglut.lib to C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\lib\amd64
and the 32 bit library to C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\lib
You also need top copy the GL folder from the include. C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\include
Finally, you need to copy the DLL into your windows system directory.
For the 64 bit version, place it in C:\Windows\System32 (assuming Windows is pointing to C:\Windows) .. YES, you heard right… System32 is the 64 bit version for windows…
For the 32 bit version, pleace in C:\Windows \SysWow64 (this is the 32 bit version)
You may need other libraries, for example the GLEW Library. Go to this site to download it. Download the pre-packaged binaries (unless you want the source, which you need to compile) They have two versions. 32 and 64 bits. I suggest you download both.
Do the same process. Copy the 64 bit .lib files to C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\lib\amd64 and 32 bit files to C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\lib
Copy the include folder GL (it will add more files to your GL) C:\Program Files (x86)\Microsoft Visual Studio 11.0\VC\include
copy the .dll and the .exe to your system32 (for 64 bits) and syswow (for 32 bits)
Also make sure you have the libraries in your project properties as shown in the figure below.