In Visual Studio 2012 (C++ environment), for a Win32 console application, I need to include a new header file to my project. I tried copying the files in the project\'s location
Put the file in the right place in the file system (like you did). Then right-click your project in the solution explorer and use Add > Existing Item to add it to your project.
If you don't want to move your file (which you probably should not), see Luchian's answer on how to add the include directory to the include folders.