It should have come with your compiler. What compiler are you using? If your compiler doesn't find it, maybe the include-paths are not set correctly. Have you done a file-search for "windows.h"?
With MinGW, you can download and extract the win32 API headers and libraries from this page. But, normally, this is included in the installation.
You cannot just download windows.h, because that header is just the tip of the iceberg. It's basically a header that includes just about every possible function of the Win32 API, through many underlying headers (which is, of course, an absolutely terrible way to do things, but, hey, that's Microsoft for you). Using it also requires linking to a long list of libraries (usually setup by default on your compiler configurations, when installed, or when creating a new "windows" project).