I'm assuming from your usage of Microsoft visual C++ that you are on a windows platform. Now, from http://en.wikipedia.org/wiki/X_Window_System referenced from http://en.wikipedia.org/wiki/Xlib:
Microsoft Windows is not shipped with support for X, but many third-party implementations exist, as free and open source software such as Cygwin/X, and proprietary products such as Exceed, MKS X/Server, Reflection X, X-Win32 and Xming.
This is why the compiler can't find the "X11/XLib.h" header. You would need to either install one of those implementations or otherwise use an abstraction layer such as one of those mentioned in http://en.wikipedia.org/wiki/Xlib (GTK+, Qt, SDL, ...)