If you use third-party code you must be aware that it may use third-party libraries (that are of course missing on your pc). :-/ I have no idea what this *.h files are, but the author of the original code will probably know it.
Took less than a minute to find this on the internet. :rolleyes:
It seems to be a part of the OpenGL SuperBible: http://www.starstonesoftware.com/OpenGL/articles.htm
Download the common.zip. GLTools.h and OpenGLSB.h (u-hu, “OpenGLSuperBible.h”) are inside there.
Come back if you have a real OpenGL question.