That's a common bug when using Visual J++, but not with Visual C++.
If the error's with J++, then you're in the wrong forum, but you can check MSDN library, they have workarounds for this problem.
If the error's with C++, then it's either a bad installation or it's on a network drive that you don't have rights to. If on a network, talk to the administrator to get rights, if a bad installation, uninstall and reinstall.
Basically it says that it can't find the header file which means it either can't read it or the settings don't have the MFC include folder in its search path.