If the project came with a Visual Studio project file, then that should already be configured to find the headers for you. If not, you'll have to add the include file directory to the project settings by right-clicking the project and selecting Properties, clicking on "C/C++", and adding the directory containing the include files to the "Additional Include Directories" edit box.
In the Additional Include Directories in the project properties (Project -> [project name] Properties, under C/C++ | General).
In the Visual Studio C++ Include directories under Tools → Options → Projects and Solutions → VC++ Directories.
In new versions of Visual Studio (2015+) the above option is deprecated and a list of default include directories is available at Project Properties → Configuration → VC++ Directories
In your case, add the directory that the header is to the project properties (Project Properties → Configuration → C/C++ → General → Additional Include Directories).
Tried to add this as a comment to Rob Prouse's posting, but the lack of formatting made it unintelligible.
In Visual Studio 2010, the "Tools | Options | Projects and Solutions | VC++ Directories" dialog reports that "VC++ Directories editing in Tools > Options has been deprecated", proposing that you use the rather counter-intuitive Property Manager.
If you really, really want to update the default $(IncludePath), you have to hack the appropriate entry in one of the XML files:
There seems to be a bug in Visual Studio 2015 community. For a 64-bit project, the include folder isn't found unless it's in the win32 bit configuration Additional Include Folders list.
The 1st contains standard C++ headers such as <iostream>, <algorithm>. The 2nd contains old C headers such as <stdio.h>, <string.h>. The version number can be different based on your software.