You need to use some IDE/compilers such as Dev-C++ or Visual Studio (beta versions are free available on microsoft developer website), under windows opengl is not updated since 1996, so you need libraries and headers that are updated by volunteers, you can check the NeHe web page which help newbies to start programming with Opengl under windows and a microsoft environment development.
You can try google and the search otpion on this forum, there is a lot of similar situation.