Assuming Visual Studio 2005 actually supports OpenGL, you need to fix your include statements ... gl.h is located in a 'GL' sub-folder of the includes folder ... change your code to look like this ...
#include <GL/gl.h>
#include <GL/glu.h>
#include <GL/glut.h>
#include <stdlib.h>
#include <stdio.h>
That should help. The next problem you may encounter is GL/glut.h may not be found ... In the past, I've had to download and install a copy of GLUT manually ... try
http://freeglut.sourceforge.net/ but beware, it can be a pain in the neck to get it working if you can't find a simple Windows installer. Finally, you need to add the appropriate OpenGL, GLU, and GLUT libraries to your project.
Alternatively, use Linux as your Operating System, and you'll find that OpenGL is MUCH, MUCH easier to use.