Well, you can't just "include" a lib file like that!
(Just open one in a text editor and see for yourself!)
You have to "link" to it by instructing your compiler to do so. What compiler are you using? For Bloodshed, just go to project->project_options and in the "additional linker..." box type: "-lwsock32". And of course include winsock.h in your project as well...