Like as always when it comes to OpenGL, Microsoft makes it not easy, because for some reason (we can only speculate about) they don't like OpenGL. Hence ever since Windows Vista they ship their products with no, or only limited OpenGL support.
The first step is, to go to Intel.com and download the latest OpenGL drivers for the GPU the Surface Pro uses.
This should give you proper OpenGL support, though the Intel drivers for Windows are only mediocre.