Viewing headers in VS

Hi guys. I'm on day 6 of the videos at the point where Casey uses Visual Studio to open up xinput.h to pull out the GetState and SetState functions. When I try to open it, VS tells me that xinput.h wasn't found "in current source file's directory or in build system paths." However, my program compiles fine and doesn't complain about not being able to find headers. I tried the other two included headers as well out of curiosity, and VS can open stdint.h but not windows.h either. What's going on?
Last time I checked, Visual Studio uses a different C++ parser than the compiler. So, it's possible, and common, for the two different parsers to be out of sync. The first thing I'd try is closing VS, blowing away your solution's intellisense database and reloading your project.
Hmmm...I was under the impression that was supposed to be a .sdf file in my project folder, but I don't see any of those in there.
That could explain why source navigation isn't working for you. Have you verified that intellisense is enabled for your solution?
I haven't changed anything from whatever the defaults are, at least. How would I check?
Without having VS open in front of me, I believe it's somewhere under Tools->Options->Text Editor->C++->Advanced? ...

Also, maybe make sure Microsoft SQL Server Compact Edition is properly installed.