You have downloaded Visual C++ Studio? I think it is VC++ Express edition, which does not support MFC. (Afx.h). You need to retail version to do MFC programming. The express edition only supports Managed c++.

According to http://msdn.microsoft.com/vstudio/express/support/faq/[^], MFC and ATL are not included.  On what basis do you believe this has changed ? MFC does not come with the platform SDK, unless it's the 64 bit version ( so I've been told ). Christian Graus - C++ MVP