By default, Visual Studio searches for headers in the folder where your project is ($ProjectDir) and in the default standard libraries directories. If you need to include something that is not placed in your project directory, you need to add the path to the folder to include:
Go to your Project properties (Project -> Properties -> Configuration Properties -> C/C++ -> General) and in the field Additional Include Directories
add the path to your .h file.
You can, also, as suggested by Chris Olen, add the path to VC++ Directories field.