There's a /FI
switch which Force Includes a header before the first line of code.
But ordinarily you'd just put it in the precompiled header. You mention in the comments that a big precompiled header is a bad idea. It's in fact the other way around. A large set of non-precompiled headers is a bad idea. You want as much precompiled as possible, even though most files won't need the full set.