Are you using Visual C++ Express? atlstr.h is part of the ATL library which only comes with retail versions of Visual Studio. If you're confident enough to do some hacking, you can use the freely available WTL instead (instructions can be found here).
Why do you need that header? When learning C++, one should stick to the standard libraries for a while.
You probably created the wrong kind of project in VS. When creating a new project choose "win32" and not ATL.
In the next step uncheck ATL, MFC and Precompiled headers and choose "console application".
I tried to use codeblocks then I moved to VC++.
I am not attending to hacke.
I don't even know how to write a nice complete program in C++.
I just tried to learn game programing through this link: http://www.cprogramming.com/tutorial/opengl_first_windows_app.html
the file stdafx.h is not involved in headrs, so I searchd and added it, and this file asked for atlstr.h
When you create a new project with vc++ the IDE will generate the stdafx.h header file for you. The contents of stdafx.h will depend on the kind of project you created. If you copied stdafx.h from somewhere else such as from a site on the internet then most likely it will contain the wrong stuff.
Here is a link you want to read so that you can get started using the compiler/IDE Read the Getting Started thread first.