Let's try this again. If you don't post the entire project, it makes it much harder for us to help you.

Code:
#include "Resources.h"
#include "WinMenuFile.h"
#include "OpenFile.h"
#include "SaveFile.h"
Also please post the exact error message you are getting.

Code:
1>------ Build started: Project: WinClassMain, Configuration: Debug Win32 ------
1>Build started 3/28/2012 8:39:01 AM.
1>InitializeBuildStatus:
1>  Touching "Debug\WinClassMain.unsuccessfulbuild".
1>ClCompile:
1>  WinProcedure.cpp
1>c:\projects\tutorials\c++\winclassmain\winclassmain\winprocedure.cpp(3): fatal error C1083: Cannot open include file: 'Resources.h': No such file or directory
1>  WinClass.cpp
1>c:\projects\tutorials\c++\winclassmain\winclassmain\winclass.cpp(3): fatal error C1083: Cannot open include file: 'Resources.h': No such file or directory
1>  Generating Code...
1>
1>Build FAILED.
1>
1>Time Elapsed 00:00:01.49
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========
Note that in the above listed output, The error code follows the text "fatal error:" (in this case "C1083"). If you highlight the error code and hit the F1 key, it will open the MSDN help page for the highlighted error code. That may help you as well.