That's one of my pet peeves against Windows: there is no such thing as a symbolic link in windows, only shortcuts, which cannot be used as straight files by programs (such as VC), only by double-click by the user (and surely by a specialized program which will read the shortcut link itself and go get the real file).
My suggestions: #include your header using the full or relative path, or <> and add the folder to the include path, or add the headers to your project.
Vincent