The QtGui header actually exists and simply includes all headers from the QtGui module. You can find it inside the QtGui directory. The compiler is able to find it because the QtGui directory is specified in the include paths. In other words, it's the same as:
#include <QtGui/QtGui>
It's a terrible practice to include the QtGui header though. You should only include what you actually use, otherwise compilation times will increase for no good reason. However, for quick tests and such, it's quite handy.