I'm using gcc compiler in linux ubuntu os. I's started doing windows programming in c but my compiler does not having windows.h or supporting header files. How can i include these windows programm supporting files? Can i download them externally or what else.......?

The header file will do you no good without the libraries. If you want to code Windows program on *nix then you need a cross compiler.

Here is a related article you should read.

You can donwload MinGW for windows it has a GCC compiler for C and G++ compiler for C++. Good Luck

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