Some samples require the ATL and/or MFC headers, libraries or runtime, which are included with Visual Studio 2005 Visual C++ (non-Express editions). When building a sample that depends on ATL/MFC without Visual Studio installed on your machine, you may see an error similar to this:
fatal error C1083: Cannot open include file: 'afxwin.h': No such file or directory
To workaround this issue, install a non-Express version of Visual Studio 2005 or later. You cannot build ATL/MFC dependent samples without Visual Studio 2005 or later.
Windows SDK Team